Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis

Cayon, Edgardo and Thorp, Susan and Wu, Eliza,(2018), Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis. , Emerging Markets Review, UNSPECIFIED

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Abstract

We compare sovereign bond spreads during the international financial crisis across groups drawn from 43 countries, including 20 emerging economies. We extend traditional factor analyses and utilize propensity score matching to select a non-crisis sample for comparison with the crisis sample that is more robust to exogenous crisis dating. We find minimal changes over the crisis period in the average spreads of local-currency-denominated emerging market bonds. In contrast, the spreads of peripheral Eurozone sovereign bonds increased by large amounts and were subject to sovereign risk contagion
Keywords : Sovereign bonds, Emerging markets, Financial contagion Financial crisis, UNSPECIFIED
Journal or Publication Title: Emerging Markets Review
Volume: 34
Number: UNSPECIFIED
Item Type: Article
Subjects: Manajemen
Depositing User: Endhar Priyo Utomo
Date Deposited: 30 Dec 2019 02:45
Last Modified: 30 Dec 2019 02:45
URI: https://repofeb.undip.ac.id/id/eprint/1138

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