engleski

Contagiousness of a Financial Crisis

This chapter analyzes the contagiousness of a financial crisis with special emphasis on the financial crisis in Russia, its consequences on the collapse of the Long Term Capital Management hedge fund and on the volatility of Croatian, Turkish, Slovenian, Bulgarian, Russian and American bonds. The main goal of the research is the empirical quantification of the influence of the financial crisis in Russia and the near collapse of the LTCM fund on the volatility of premiums for a total of six long- term sovereign and corporate bonds and to determine the contribution of contagiousness from Russia and the USA to the volatility of premiums of analyzed bonds. According to the results of models of latent factors, the influence of the financial crisis in Russia was proven on the volatility of premiums for bonds of the USA by quantifying the contribution of contagiousness from Russia in the total volatility of premiums of bonds from the USA with a significant share of 40.27%. Furthermore, the application of the model of latent factors has proven that the financial crisis in Russia and the near collapse of the LTCM fund in the USA influence the increased volatility of premiums for bonds of chosen countries: Croatia, Turkey, Bulgaria and Slovenia. The global financial crisis once more confirmed the disastrous impact of a financial crisis on the national economy, regional markets and the global market. Therefore, there is a need for further research f or a better understanding of the phenomenon of contagiousness of a financial crisis, or the occurrence, channeling the transmission and also preventing a financial crisis.

Financial crisis, contagiousness, LTCM, bond premiums, model of latent factors

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