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150128 ||| eng |
020 |
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|a 9781451850321
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100 |
1 |
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|a Bayoumi, Tamim
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245 |
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|a Fatal Attraction
|b A New Measure of Contagion
|c Tamim Bayoumi, Manmohan Kumar, Giorgio Fazio, Ronald MacDonald
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260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2003
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300 |
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|a 21 pages
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651 |
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4 |
|a Russian Federation
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653 |
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|a Stock exchanges
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653 |
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|a Finance
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653 |
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|a Short-term Capital Movements
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653 |
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|a Saving and Capital Investment
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653 |
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|a Current Account Adjustment
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653 |
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|a Balance of payments
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653 |
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|a Long-term Capital Movements
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653 |
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|a Currency
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653 |
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|a Exports and Imports
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653 |
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|a General Financial Markets: General (includes Measurement and Data)
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653 |
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|a International Lending and Debt Problems
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653 |
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|a International economics
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653 |
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|a Economic Development: Financial Markets
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653 |
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|a Foreign Exchange
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653 |
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|a Financial markets
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653 |
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|a Capital inflows
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653 |
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|a Emerging and frontier financial markets
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653 |
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|a Stock markets
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653 |
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|a Financial services industry
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653 |
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|a Real exchange rates
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653 |
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|a Capital movements
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653 |
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|a Exchange rates
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653 |
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|a Finance: General
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653 |
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|a Foreign exchange
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653 |
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|a International Investment
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653 |
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|a Corporate Finance and Governance
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700 |
1 |
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|a Fazio, Giorgio
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700 |
1 |
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|a Kumar, Manmohan
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700 |
1 |
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|a MacDonald, Ronald
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041 |
0 |
7 |
|a eng
|2 ISO 639-2
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989 |
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|b IMF
|a International Monetary Fund
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490 |
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|a IMF Working Papers
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028 |
5 |
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|a 10.5089/9781451850321.001
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856 |
4 |
0 |
|u https://elibrary.imf.org/view/journals/001/2003/080/001.2003.issue-080-en.xml?cid=16450-com-dsp-marc
|x Verlag
|3 Volltext
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|a 330
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520 |
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|a This paper proposes a new measure of contagion that is good at anticipating future vulnerabilities. Building on previous work, it uses correlations of equity markets across countries to measure contagion, but in a departure from previous practice it measures contagion using the relationship of these correlations with distance. Also in contrast to previous work, our test is good at identifying periods of "positive contagion," in which capital flows to emerging markets in a herd-like manner, largely unrelated to fundamentals. Identifying such periods of "fatal attraction" is important as they provide the essential ingredients for subsequent crises and rapid outflows of capital
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