1 Characterizing Global Risk in Emerging Markets During Financial Crises: 1998-1999 Mardi Dungey, Renée Fry, Brenda González-Hermosillo and Vance L. Martin 1 Abstract Movements in the bond risk premia of nine emerging markets during the Russian, LTCM and Brazilian financial crises, are explained in terms of the risk preferences of investors. Three broad characteristics of risk are considered: Global risk factors comprising credit, liquidity and volatility risks; country risk arising from idiosyncratic shocks of countries; and contagion risk caused by additional cross-border linkages arising during financial crises. The empirical results show that all risk components are generally important in explaining the widening of spreads during the Russian and LTCM crises, whereas the Brazilian crisis is better characterized in terms of changes in global credit risk and country risk. JEL Classification: G12, G15, C50 Keywords: Credit Risk, Liquidity Risk, Volatility Risk, Country Risk, Contagion Risk, Bond Markets 1 Mardi Dungey: Cambridge Endowment for Research in Finance (CERF), University of Cambridge, and Centre for Applied Macroeconomic Analysis (CAMA), The Australian National University, m.dungey@cerf.cam.ac.uk; Renée Fry: CAMA, The Australian National University, and CERF, University of Cambridge, renee.fry@anu.edu.au; Brenda González- Hermosillo: International Monetary Fund, bgonzalez@imf.org; and Vance L. Martin: University of Melbourne, vance@unimelb.edu.au.