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Contagion and Capital Market Integration in Asia: Historical and Contemporary Evidence

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Authors
Sussman, Nathan; Yafeh, Yishay
Issue Date
1999
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 12 (No. 4 1999): 391-418
Keywords
soberreign debt yields; contagion; golden age
Abstract
We compare sovereign debt yields in the nineteenth century and today. Using data on nineteenth century Japanese government bonds, and on Korean sovereign debt today we show that foreign investors both then and now use summary indicators to evaluate country risk (the Gold Standard then, IMF packages today). However, "contagion" today is more common than in the past. Events in nineteenth century China hardly caused fluctuations in Japanese yields although capital markets were highly integrated. By contrast, minor events in Asia or Latin America had significant effects on Korean yields in recent years.
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/1165
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.12(4) (Winter 1999)
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