Contagion in International Bond Markets During the Russian and the LTCM Crises

The Russian and LTCM crises of August-September 1998 represent an unusual period of volatility in international bond markets with bond spreads increasing dramatically across the globe. Using a latent factor model and a new data set spanning markets across Asia, Europe and the Americas, we quantify the contribution of contagion to the spread of these crises… CONTINUE READING