Cet article a pour objet d’´etudier empiriquement le ph´enom`ene de contagion lors de la crise asiatique de 1997 …

sovereign credit ratings are responsible for pronounced boom-bust cycles in emerging markets lending. Using a vector …

The paper tests whether there were events of contagion, and portfolio shift, in the sovereign bond markets of eleven … emerging countries' between January 1995 and November 2001. From existing definitions, we narrow down the concept of contagion … pricing model. We measure contagion (and portfolio shift) in terms of a causal positive (negative) dynamic co-movement between …