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What Drives Contagion

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  • Rodrigo O. Valdés
  • Leonardo Hernández
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    Abstract

    This paper presents evidence on the relative importance of alternative contagion channels during the Thai, Russian, and Brazilian crises. Results show that when crises are measured by changes in sovereign bond spreads, financial competition seems to explain almost all contagion episodes. However, when crises are measured by stock market returns, trade links and neighborhood effects appear to be relevant contagion channels during the Thai and Brazilian crises, while financial competition remains the only relevant channel in the case of the Russian crisis.

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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=4015
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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 01/29.

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    Length: 22
    Date of creation: 01 Mar 2001
    Date of revision:
    Handle: RePEc:imf:imfwpa:01/29

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    Related research

    Keywords: Capital flows; Economic conditions; Stock markets; contagion; bond; stock market; bond spreads; sovereign bond; bonds; financial market; currency crises; treasury bonds; financial indicators; financial markets; stock prices; hedge; competitiveness; financial contagion; stock market prices; stock of debt; international financial markets; deposit insurance; international finance; speculative attacks; financial crisis; eurobonds; bond spread; real exchange rate overvaluation; brady bonds; bond index; bank runs; hedge funds; international financial system; emerging market bond; financial crises; overvaluation; bond markets; treasury bond; exchange rate overvaluation; market bond; financial sector;

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