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Contagion in international bond markets during the Russian and the LTCM crises

Citations

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Cited by:

  1. Kuo-Jung Lee & Su-Lien Lu & You Shih, 2018. "Contagion Effect of Natural Disaster and Financial Crisis Events on International Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-25, March.
  2. Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets during the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 507-521, December.
  3. Juneja, Januj A., 2016. "Financial crises and estimation bias in international bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 593-607.
  4. Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012. "No contagion, only globalization and flight to quality," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1729-1744.
  5. repec:dau:papers:123456789/7748 is not listed on IDEAS
  6. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2014. "Causality and contagion in EMU sovereign debt markets," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 12-27.
  7. Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306.
  8. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
  9. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.
  10. Pinto, Brian & Ulatov, Sergei, 2010. "Russia 1998 Revisited: Lessons for Financial Globalization," World Bank - Economic Premise, The World Bank, issue 37, pages 1-4, October.
  11. Rainer Masera, 2011. "Taking the moral hazard out of banking: the next fundamental step in financial reform," PSL Quarterly Review, Economia civile, vol. 64(257), pages 105-142.
  12. Kenneth Smith & Joe Brocato, 2010. "Applying the Inclan-Tsiao breakpoint algorithm in the search for the flight-to-safety phenomenon," Applied Financial Economics, Taylor & Francis Journals, vol. 20(5), pages 371-380.
  13. Adrian, Tobias & Borowiecki, Karol Jan & Tepper, Alexander, 2022. "A leverage-based measure of financial stability," Journal of Financial Intermediation, Elsevier, vol. 51(C).
  14. Jinghan Cai & Xiaobing Li, 2018. "Logistics and stock market inter-dependence: the case of China," International Journal of Logistics Economics and Globalisation, Inderscience Enterprises Ltd, vol. 7(3), pages 292-306.
  15. Diana Tunaru & Frank J. Fabozzi, 2021. "Not everyone is a follower: The behaviour of interest rate and equity markets within major economies relative to the United States," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2335-2350, April.
  16. repec:dau:papers:123456789/7746 is not listed on IDEAS
  17. Salah Uddin, Gazi & Lucey, Brian & Rahman, Md Lutfur & Stenvall, David, 2024. "Quantile coherency across bonds, commodities, currencies, and equities," Journal of Commodity Markets, Elsevier, vol. 33(C).
  18. Ge, S., 2020. "A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model," Cambridge Working Papers in Economics 20114, Faculty of Economics, University of Cambridge.
  19. Elsayed, Ahmed H. & Sohag, Kazi & Sousa, Ricardo M., 2024. "Oil shocks and financial stability in MENA countries," Resources Policy, Elsevier, vol. 89(C).
  20. Gomez-Gonzalez, Jose & Rojas-Espinosa, Wilmer, 2018. "Detecting exchange rate contagion in Asian exchange rate markets using asymmetric DDC-GARCH and R-vine copulas," MPRA Paper 88578, University Library of Munich, Germany.
  21. Dumitriu, Ramona & Stefanescu, Răzvan, 2020. "Iluzii financiare, Partea întâi [Financial Illusions, Part 1]," MPRA Paper 101201, University Library of Munich, Germany, revised 17 Jun 2020.
  22. Mardi Dungey & Charles Goodhart & Demosthenes Tambakis, 2008. "The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 40-52.
  23. Saffet Akdag & Ömer İskenderoglu & Andrew Adewale Alola, 2020. "The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise," Letters in Spatial and Resource Sciences, Springer, vol. 13(1), pages 49-65, April.
  24. Mpoha, Salifya & Bonga-Bonga, Lumengo, 2021. "Spillover effects from China and the US to global emerging markets: a dynamic analysis," MPRA Paper 109349, University Library of Munich, Germany.
  25. Brian Pinto & Sergei Ulatov, 2010. "Russia 1998 Revisited : Lessons for Financial Globalization," World Bank Publications - Reports 10153, The World Bank Group.
  26. Ms. Edda Zoli, 2013. "Italian Sovereign Spreads: Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions," IMF Working Papers 2013/084, International Monetary Fund.
  27. Tabak, Benjamin M. & de Castro Miranda, Rodrigo & da Silva Medeiros, Maurício, 2016. "Contagion in CDS, banking and equity markets," Economic Systems, Elsevier, vol. 40(1), pages 120-134.
  28. Chang, Guang-Di & Cheng, Po-Ching, 2016. "Evidence of cross-asset contagion in U.S. markets," Economic Modelling, Elsevier, vol. 58(C), pages 219-226.
  29. Hawkesby, Christian & Marsh, Ian W. & Stevens, Ibrahim, 2007. "Comovements in the equity prices of large complex financial institutions," Journal of Financial Stability, Elsevier, vol. 2(4), pages 391-411, March.
  30. Stefano Fenoaltea, 2010. "The reconstruction of historical national accounts: the case of Italy," PSL Quarterly Review, Economia civile, vol. 63(252), pages 77-96.
  31. Bhatia, Shipra & Tuteja, Divya, 2024. "Contagion and linkages across international currencies," International Review of Financial Analysis, Elsevier, vol. 94(C).
  32. Jinliang Li, 2016. "When noise trading fades, volatility rises," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 475-512, October.
  33. Ge, Shuyi, 2023. "A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
  34. Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2021. "The structure and degree of dependence in government bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  35. González-Sánchez, Mariano, 2018. "Causality in the EMU sovereign bond markets," Finance Research Letters, Elsevier, vol. 26(C), pages 281-290.
  36. Lumengo Bonga-Bonga & Mathias mandla Manguzvane, 2020. "Assessing the extent of contagion of sovereign credit risk among BRICS countries," Economics Bulletin, AccessEcon, vol. 40(2), pages 1017-1032.
  37. Linas Jurksas & Deimante Teresiene & Rasa Kanapickiene, 2021. "Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions," Economies, MDPI, vol. 9(1), pages 1-22, March.
  38. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2016. "What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets," Economic Modelling, Elsevier, vol. 52(PB), pages 981-996.
  39. Ana Escribano & Cristina Íñiguez, 2021. "The contagion phenomena of the Brexit process on main stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4462-4481, July.
  40. Rainer Masera, 2010. "Reforming financial systems after the crisis: a comparison of EU and USA," PSL Quarterly Review, Economia civile, vol. 63(255), pages 299-362.
  41. Joe Brocato & Kenneth Smith, 2012. "Sudden equity price declines and the flight-to-safety phenomenon: additional evidence using daily data," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(3), pages 712-727, July.
  42. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
  43. Ponrajah, Jeremey & Ning, Cathy, 2023. "Stock–bond dependence and flight to/from quality," International Review of Financial Analysis, Elsevier, vol. 86(C).
  44. Ballester, Laura & Díaz-Mendoza, Ana Carmen & González-Urteaga, Ana, 2019. "A systematic review of sovereign connectedness on emerging economies," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 157-163.
  45. Kavita Sirichand & Simeon Coleman, 2015. "International yield curve comovements: impact of the recent financial crisis," Applied Economics, Taylor & Francis Journals, vol. 47(43), pages 4561-4573, September.
  46. Tzomakas, Christos, 2024. "Financial contagion dynamics from the US to the PIIGS amidst the global financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
  47. Lee, Eun-Joo, 2017. "Intra- and inter-regional portfolio diversification strategies under regional market integration: Evidence from U.S. global banks," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 1-22.
  48. Baur, Dirk G. & Lucey, Brian M., 2009. "Flights and contagion--An empirical analysis of stock-bond correlations," Journal of Financial Stability, Elsevier, vol. 5(4), pages 339-352, December.
  49. International Monetary Fund, 2011. "Italy: Selected Issues," IMF Staff Country Reports 2011/176, International Monetary Fund.
  50. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Shao, Xuefeng & Le, TN-Lan & Gyamfi, Matthew Ntow, 2023. "Financial technology stocks, green financial assets, and energy markets: A quantile causality and dependence analysis," Energy Economics, Elsevier, vol. 118(C).
  51. Kang, Hyunju & Suh, Hyunduk, 2015. "Reverse spillover: Evidence during emerging market financial turmoil in 2013–2014," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 97-115.
  52. Gomez-Gonzalez, Jose E. & Rojas-Espinosa, Wilmer, 2019. "Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas," Economic Systems, Elsevier, vol. 43(3).
  53. Sawsen Bouker & Faysal Mansouri, 2022. "Sovereign contagion risk measure across financial markets in the eurozone: a bivariate copulas and Markov Regime Switching ARMA based approaches," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 158(2), pages 615-711, May.
  54. Galina Hale & Elliot Marks & Fernanda Nechio, 2012. "Are U.S. corporate bonds exposed to Europe?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jun4.
  55. Azis Iwan J. & Mitra Sabyasachi & Baluga Anthony, 2013. "Global Shock and Regional Spillovers," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 19(2), pages 183-211, August.
  56. Ms. Brenda Gonzalez-Hermosillo, 2008. "Investors’ Risk Appetite and Global Financial Market Conditions," IMF Working Papers 2008/085, International Monetary Fund.
  57. Kim, Yeong Jae & Cho, Seong-Hoon & Sharma, Bijay P., 2021. "Constructing efficient portfolios of low-carbon technologies," Renewable and Sustainable Energy Reviews, Elsevier, vol. 150(C).
  58. Ginanjar Dewandaru & Rumi Masih & Mansur Masih, 2018. "Unraveling the Financial Contagion in European Stock Markets During Financial Crises: Multi-Timescale Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 859-880, March.
  59. João Leitão & Joaquim Ferreira, 2021. "Dynamic Effects of Material Production and Environmental Sustainability on Economic Vitality Indicators: A Panel VAR Approach," JRFM, MDPI, vol. 14(2), pages 1-20, February.
  60. Zhao, Shangmei & Chen, Xinyi & Zhang, Junhuan, 2019. "The systemic risk of China’s stock market during the crashes in 2008 and 2015," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 161-177.
  61. Hallak, Issam, 2009. "Renegotiation and the pricing structure of sovereign bank loans: Empirical evidence," Journal of Financial Stability, Elsevier, vol. 5(1), pages 89-103, January.
  62. Lee, Hsien-Yi & Wu, Hsing-Chi & Wang, Yung-Jang, 2007. "Contagion effect in financial markets after the South-East Asia Tsunami," Research in International Business and Finance, Elsevier, vol. 21(2), pages 281-296, June.
  63. Donders, Pablo & Jara, Mauricio & Wagner, Rodrigo, 2018. "How sensitive is corporate debt to swings in commodity prices?," Journal of Financial Stability, Elsevier, vol. 39(C), pages 237-258.
  64. Chun-An Li & Min-Ching Lee & Chin-Sheng Huang, 2018. "Taiwan And U.S. Equity Market Interdependence And Contagion: Evidence From Four-Factor Model," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 12(2), pages 95-115.
  65. Celık, Sibel, 2012. "The more contagion effect on emerging markets: The evidence of DCC-GARCH model," Economic Modelling, Elsevier, vol. 29(5), pages 1946-1959.
  66. Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284, Edward Elgar Publishing.
  67. Meng-Shiuh Chang & Meng-Wei Chen & Peijie Ju, 2023. "Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach," SAGE Open, , vol. 13(4), pages 21582440231, November.
  68. Canuto, Otaviano & Pinto, Brian & Prasad, Mona, 2012. "Orderly sovereign debt restructuring : missing in action !," Policy Research Working Paper Series 6054, The World Bank.
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