Seoul Journal of Economics
[ Article ]
Seoul Journal of Economics - Vol. 12, No. 4, pp.391-417
ISSN: 1225-0279 (Print)
Print publication date 30 Nov 1999
Received Aug 1999 Revised Oct 1999

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

Nathan Sussman ; Yishay Yafeh
Lecturer, Economics Department, The Hebrew University, Mt. Scopus, Jerusalem 91905, Israel, Tel: +972-2-588-3139
Lecturer, Economics Department, The Hebrew University, Mt. Scopus Jerusalem 91905, Israel, Tel: +972-2-588-3246, Fax: +972-2-581-6071

JEL Classification: F21, G15, N20


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.


This paper was prepared for presentation at the SJE-KIF International Symposium on “Structural Adjustments after the Asian Financial Crisis,” Seoul, August 1999. We thank Lilach Weiss for excellent research assistance and the Department of East Asian Studies at the Hebrew University for financial support. We are also grateful to Jeffrey Wichmann from Deutsche Bank (New York) for kindly providing us with the data on contemporary sovereign bonds. Keunkwan Ryu and participants of a CEPR conference held in Oxford provided helpful comments and suggestions.


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