The Russian default and the contagion to Brazil
AbstractThis paper investigates the contagion from Russia to Brazil in late 1998 under two dimensions players involved and the timing of events. The data does not seem to reflect a compensatory liquidation of assets story by international institutional investors. It does contribute, however, to the suspicion that the contagion was triggered by foreign investors panicking from the Russian crisis, and joining local residents on their speculation against the Brazilian real. Adjusted correlations in the Brady market increase significantly during the crisis, which lends support to the view that if there was a contagion from Russia to Brazil, the most likely place of the transmission was the off-shore Brady market. Finally, the paper does not support the hypothesis that it was the liquidity crisis in mature markets, and not the Russian crisis, that timed the crisis in Brazil.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics PUC-Rio (Brazil) in its series Textos para discussão with number 420.
Length: 49 pages
Date of creation: Mar 2000
Date of revision:
Publication status: Published in Stijn Claessens; Kristin Forbes. International Financial Contagion. Kluwer Academic Publishers, p. 268-299, 2001
Contact details of provider:
Postal: Rua Marquês de São Vicente, 225, 22453-900 Rio de Janeiro, RJ
Phone: 021 35271078
Fax: 021 35271084
Web page: http://www.econ.puc-rio.br
More information through EDIRC
Other versions of this item:
- F30 - International Economics - - International Finance - - - General
- F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-05-02 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pierre-Richard AgÃ©nor & Joshua Aizenman, 1998.
"Contagion and Volatility with Imperfect Credit Markets,"
IMF Staff Papers,
Palgrave Macmillan, vol. 45(2), pages 207-235, June.
- Pierre-Richard Agenor & Joshua Aizenman, 1997. "Contagion and Volatility with Imperfect Credit Markets," NBER Working Papers 6080, National Bureau of Economic Research, Inc.
- Joshua Aizenman & Pierre-Richard AgÃ©nor, 1997. "Contagion and Volatility with Imperfect Credit Markets," IMF Working Papers 97/127, International Monetary Fund.
- Ilan Goldfajn & Taimur Baig, 1999.
"Financial market contagion in the Asian crisis,"
Textos para discussÃ£o
400, Department of Economics PUC-Rio (Brazil).
- Menzie D. Chinn, 1998.
"Before the Fall: Were East Asian Currencies Overvalued?,"
NBER Working Papers
6491, National Bureau of Economic Research, Inc.
- Chinn, Menzie D., 2000. "Before the fall: were East Asian currencies overvalued?," Emerging Markets Review, Elsevier, vol. 1(2), pages 101-126, September.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.