Showing papers by "Mardi Dungey published in 2002"

International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse

Abstract: We examine empirically the episode of extraordinary turbulence in global financial markets during 1998. The analysis focuses on the market assessment of credit risk captured by daily movements in bond spreads for twelve countries. A dynamic latent factor model is estimated using indirect inference to quantify the effects of unanticipated shocks across borders or "contagion," controlling for common global shocks, country-specific shocks and regional factors. The results show that there were substantial international contagion effects resulting from both the Russian and LTCM crises. The proportion of volatility explained by contagion is not necessarily larger in developing than in developed nations.

Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998

Abstract: The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse

Abstract: We examine empirically the episode of extraordinary turbulence in global financial markets during 1998. The analysis focuses on the market assessment of credit risk captured by daily movements in bond spreads for twelve countries. A dynamic latent factor model is estimated using indirect inference to quantify the effects of unanticipated shocks across borders or "contagion," controlling for common global shocks, country-specific shocks and regional factors. The results show that there were substantial international contagion effects resulting from both the Russian and LTCM crises. The proportion of volatility explained by contagion is not necessarily larger in developing than in developed nations.

The Transmission of Contagion in Developed and Developing International Bond Markets

Abstract: The potential for contagion effects resulting from financial crises has become an important policy issue. The results presented in this paper quantify the impact of financial contagion in global bond markets from the Russian crisis and the LTCM near collapse during the latter part of 1998. Using a panel of bond spreads in 12 countries we find discernible contagion from these two crises to both developing and developed markets. The proportion of total volatility attributable to contagion varies widely across countries but it is not always the case that it is more substantial for developing countries. However, due to the absolutely higher level of volatility experienced in developing markets, the squared basis point contributions of contagion to volatility are relatively higher in those markets.

International Shocks and the Role of Domestic Policy in Australia

Abstract: In the presence of large international disturbances small open economies are faced with difficult policy choices. International conditions impact on domestic outcomes. Using a structural VAR model of the Australian economy I explore the ways in which domestic monetary policy contributes to the output outcomes experienced in the economy. The focus is on the impact of international shocks. Monetary policy is modelled using a cash rate response to GNE, inflation and real exchange rate shocks. The results show that removing the focus on either GNE or inflation leads to lower GDP outcomes for the economy. The challenge for domestic policy is to recognise and respond to international and domestic shocks to the maximum benefit of the domestic economy.

International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse

Abstract: We examine empirically the episode of extraordinary turbulence in global financial markets during 1998. The analysis focuses on the market assessment of credit risk captured by daily movements in bond spreads for twelve countries. A dynamic latent factor model is estimated using indirect inference to quantify the effects of unanticipated shocks across borders or “contagion,” controlling for common global shocks, country-specific shocks and regional factors. The results show that there were substantial international contagion effects resulting from both the Russian and the LTCM crises. The proportion of volatility explained by contagion is not necessarily larger in developing than in developed nations.

International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse

Abstract: We examine empirically the episode of extraordinary turbulence in global financial markets during 1998. The analysis focuses on the market assessment of credit risk captured by daily movements in bond spreads for twelve countries. A dynamic latent factor model is estimated using indirect inference to quantify the effects of unanticipated shocks across borders or "contagion," controlling for common global shocks, country-specific shocks and regional factors. The results show that there were substantial international contagion effects resulting from both the Russian and LTCM crises. The proportion of volatility explained by contagion is not necessarily larger in developing than in developed nations.