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Contagion in emerging markets: the Russian crisis

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  • Elvira Sojli

Abstract

The existing literature on financial crises includes several different methods of testing for contagion during financial market crises. In this article, two modified models for measuring contagion via changes in correlations due to unexpected shocks are used: the adjusted correlation model and the full information model. The mechanisms by which the Russian 1998 crisis spread to Slovenia, Estonia and the Czech Republic are investigated. The main focus is the extent to which the crisis spread to these markets, after interdependencies and common external shocks have been taken into account. High interdependence is found to exist among these investigated markets, but the results on how contagion is propagated are model-dependent and ambiguous.

Suggested Citation

  • Elvira Sojli, 2007. "Contagion in emerging markets: the Russian crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 197-213.
  • Handle: RePEc:taf:apfiec:v:17:y:2007:i:3:p:197-213
    DOI: 10.1080/09603100600639876
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    References listed on IDEAS

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    Cited by:

    1. HEGERTY, Scott W., 2014. "Exchange Market Pressure And Regional Price Spillovers In Russia, Ukraine, And Belarus," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 14(2).
    2. Renée Fry & Cody Yu-Ling Hsiao & Chrismin Tang, 2011. "Actually This Time Is Different," CAMA Working Papers 2011-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
    4. Wasim Ahmad & N.R. Bhanumurthy & Sanjay Sehgal, 2014. "The Eurozone crisis and its contagion effects on the European stock markets," Studies in Economics and Finance, Emerald Group Publishing, vol. 31(3), pages 325-352, July.

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