Unanticipated Shocks and Systemic Influences
- Mr.Mardi Dungey
- Ms.Renee Fry
- Mr.Vance Martin
- Ms.Brenda Gonzalez-Hermosillo
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Unanticipated Shocks and Systemic Influences is written by Mr.Mardi Dungey and published by International Monetary Fund. It's available with International Standard Book Number or ISBN identification 1451850662 (ISBN 10) and 9781451850666 (ISBN 13).
August to September 1998 has been characterized as one of the worst episodes of global financial distress in decades. This paper investigates the transmission of the Russian and the LTCM crises through global equity markets using a panel of 14 developing and industrial countries. The results show that contagion was systemic during the period, with industrial countries providing the dominant cross-country transmission linkages. Both crises reinforced each other, highlighting the importance of studying them jointly. An implication of the empirical results is that models of contagion that exclude industrial countries are potentially misspecified and may yield misleading outcomes.
