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Monday, July 27, 2020 | History

1 edition of International contagion effects from the Russian crisis and the LTCM near-collapse found in the catalog.

International contagion effects from the Russian crisis and the LTCM near-collapse

International contagion effects from the Russian crisis and the LTCM near-collapse

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Published by International Monetary Fund, IMF Institute in [Washington, D.C.] .
Written in English

    Subjects:
  • Long-term Capital Management (Firm),
  • Financial crises -- Russia (Federation) -- Econometric models.,
  • Hedge funds -- United States -- Econometric models.,
  • Contagion (Social psychology) -- Econometric models.

  • Edition Notes

    StatementMardi Dungey ... [et al.].
    GenreEconometric models.
    SeriesIMF working paper -- WP/02/74
    ContributionsDungey, Mardi., IMF Institute., International Monetary Fund.
    The Physical Object
    Pagination47 p. :
    Number of Pages47
    ID Numbers
    Open LibraryOL19049279M

    Economiques) for providing me the financial support to attend the Cournot International Doctoral Days organised by the University of Strasbourg, France. Ecole Doctorale also financed my participation in the International Summer School organised by the University of .   Asian Financial Crisis July –December A financial crisis started in Thailand in July and spread across East Asia, wreaking havoc on economies in the region and leading to spillover effects in Latin America and Eastern Europe in

      The apparent spread of the Asian crisis to Brazil and Russia underscored that contagion could be more than regional. The collapse of Long-Term Capital Management (LTCM) following the Russian crisis led the US Federal Reserve to intervene in the market to coordinate a private sector bailout. , Volume 70 - Issue 4. ISSN: Citationi RSS feed: At RePEc Data di pubblicazione: 20 ottobre

      International contagion effects from the Russian crisis and the LTCM near‐collapse Dungey, Dungey; Fry, Fry; González‐Hermosillo, González‐Hermosillo; Martin, Martin Exchange market mayhem: the antecedents and aftermath of speculative attacks. Get more articles like thisBack to full articlePreface: Explaining our market timing modelsWe maintain several market timing models, each with differing time horizons. The “Ultimate Market Timing Model” is a long-term market timing model based on research outlined in our post Building the ultimate market timing model. This model tends to generate only a handful of signals each decade.


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International contagion effects from the Russian crisis and the LTCM near-collapse Download PDF EPUB FB2

There are important spillover effects from tourism on construction, distribution services, electricity, agriculture and manufacturing.

The tourism sector was considerably affected by the global crisis which led to a significant decline in the number of visitors, from nearly million in to approximately million in   Web view. Long-Term Capital Management (LTCM) was a large hedge fund that went from success to bust, nearly collapsing the financial markets in until the U.S.

government intervened. Ironically, the success of the U.S. authorities in minimizing the effects of the near collapse of LTCM and the effects of other market disruptions in the s may have lulled the markets and the authorities themselves into a false sense of confidence in their ability to manage future crises.

International contagion effects from the Russian crisis and the LTCM near-collapse. MR Fry, MV Martin, MB González-Hermosillo, MM Dungey. International Monetary Fund, Commodity currencies and currency commodities.

KW Clements, R Fry. The transmission of the financial crises in though international equity markets is estimated through a multi-factor model of financial markets specifically allowing for contagion effects.

The application measures the strength of contagion emanating from the Russia crisis ofand the LTCM near collapse, using a panel of 10 emerging and.

in July (with the devaluation of the Thai baht), Russia in Augustthe USA in September (with the near-collapse of the U.S hedge fund Long-Term Capital Management), Brazil towards the end of and earlyand lately, Turkey, and Argentina in (Dungey).

Studies have mostly discussed the contagion effect among markets during financial crises, namely the US stock market crash inthe Mexican currency crash crisis inthe Asian financial crisis that began in Thailand inthe US subprime mortgage crisis inand the European debt crisis.

To be sure, the Russian default of Augustfollowed by the collapse of Long-Term Capital Management, had more-substantial effects on global markets and posed greater risk to the U.S.

economy, which triggered a policy response by the Fed in which the federal funds rate was cut 75 basis points between September and November of that year. Book a CV review; Applying. Who are we looking for. Programme overview. Gonzalez-Hermosillo, B. and Vance, M.

() "International contagion effects from the Russian crisis and the LTCM near-collapse." IMF Working Paper Series, No/ Washington, DC: International Monetary Fund. Even developed markets in North America and Europe were affected, as the relative prices of financial instruments shifted and caused the collapse of Long-Term Capital Management (LTCM), a large U.S.

hedge fund. The financial crisis beginning from Thailand with the collapse of the Thai baht spread to Indonesia, the Philippines, Malaysia, South. Country and contagion risks are also studied individually. A historical decomposition of bond spreads is used to identify the relative contributions of risk during The empirical results show that the Russian/LTCM crises were characterized by increases in global credit risk, while the relative size of global risk factors was mixed for.

Contagion in international bond markets during the Russian and the LTCM crises by Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse.

Purpose – In September‐October the Russian stock markets came under severe strain amidst the global financial crisis.

During this time the Russian government intervened several times to halt the trade to impede the continuous slide. The government justified its actions owing to the argument that the crisis was due to a trickledown effect from the financial crisis in the USA and the.

Economists drew a number of lessons from the Asian financial crisis of for preventing such episodes or mitigating their effects.

Some of those are similar to lessons drawn from the global financial crisis of But differences in economic development and sophistication of the financial systems of East Asian countries compared with those of the United States and Western Europe.

John J. Merrick Jr, ‘Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina’, Journal of Banking & Finance,25, 10, – Mardi Dungey et al., ‘Contagion in International Bond Markets During the Russian and the LTCM crises’, Journal of Financial Stability,2, 1, 1– C.

A Bank of International Settlements poll of market participants described the joint event of the August Russian meltdown plus the bailout of the hedge fund Long-Term Capital Management (LTCM) the following month as the “worst crisis” in recent times.3 A review of the events suggests that LTCM’s near-collapse was precipitated in part.

Krzak, M. (), “Contagion Effects of the Russian Financial Crisis on Central and Eastern Europe: The Case of Poland.” Focus on Transition, Osterreichische Nationalbank. Kumar, M.S. e A. Persaud (), “Pure Contagion and Investors´ Shifting Risk Appetite: Analytical Issues.

Global Financial Contagion specifically looks at how the Obama Administration's policy missteps have contributed to America's huge debt and slow recovery, why the Eurozone's response to its existential crisis has become a never-ending saga, and why the G20's efforts to create a new international financial architecture may fall short.

The Asian financial crisis was ultimately solved by the International Monetary Fund (IMF), which provided the loans necessary to stabilize the troubled Asian economies. In latethe organization had committed more than $ billion in short-term loans to Thailand, Indonesia, and South Korea to help stabilize the economies.

Recall the events of A currency plunge in Thailand turned out to be the impetus for a broader crisis. It led to a Russian debt default and the near-collapse of Long-Term Capital Management. The International Monetary Fund tried to smooth things over, but it was running into some problems. Russia became the next country to fall.

Amid the global panic, investor sentiment began to change.The Asian financial crisis was a period of financial crisis that gripped much of East Asia and Southeast Asia beginning in July and raised fears of a worldwide economic meltdown due to financial contagion.

The crisis started in Thailand (known in Thailand as the Tom Yam Kung crisis; Thai: วิกฤตต้มยำกุ้ง) on 2 July, with the financial collapse of the Thai baht. And yet the last serious financial crisis occurred a scant 10 years before the event, in It hit the emerging economies of Asia, and Russia, not the major industrial countries; its only clearly visible impact on the U.S.

economy was the collapse of the large hedge fund, Long-Term Capital Management (LTCM). But that crisis set.