Immunity and infection : emerging and developed market sovereign spreads over the global financial crisis
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...
- Autores:
-
Cayón Fallon, Edgardo
Thorp, Susan
Wu, Eliza
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2018
- Institución:
- Colegio de Estudios Superiores de Administración
- Repositorio:
- Repositorio CESA
- Idioma:
- eng
- OAI Identifier:
- oai:repository.cesa.edu.co:10726/5097
- Palabra clave:
- Sovereign bonds
Emerging markets
Financial contagion
Financial crisis
- Rights
- License
- Acceso Restringido
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Cayón Fallon, Edgardobe27db6c-c045-4b3d-983d-c71aa93d1fe8600Thorp, Susan5c2bae42-2459-45f8-8d7c-6ca401856c36600Wu, Elizaa8593342-5386-4a16-8024-3938046a3308600Cayón Fallon, Edgardo [0000-0002-4113-5521]Thorp, Susan [0000-0003-3462-0876]Wu, Eliza [0000-0003-3937-8660]Cayón Fallon, Edgardo [56395390800]Thorp, Susan [8214890500]Wu, Eliza [8693465100]2023-06-21T22:23:07Z2023-06-21T22:23:07Z2018-031566-0141http://hdl.handle.net/10726/5097instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/1873-6173https://doi.org/10.1016/j.ememar.2017.11.006engElsevier BVSovereign bondsEmerging marketsFinancial contagionFinancial crisisImmunity and infection : emerging and developed market sovereign spreads over the global financial crisisarticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32Acceso Restringidohttp://vocabularies.coar-repositories.org/access_rights/c_16ec/http://purl.org/coar/access_right/c_16ecWe 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.https://orcid.org/0000-0002-4113-5521https://orcid.org/0000-0003-3462-0876https://orcid.org/0000-0003-3937-8660https://www.scopus.com/authid/detail.uri?authorId=56395390800https://www.scopus.com/authid/detail.uri?authorId=8214890500https://www.scopus.com/authid/detail.uri?authorId=869346510034162174Emerging Markets Review10726/5097oai:repository.cesa.edu.co:10726/50972023-09-30 13:08:27.713metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co |
dc.title.eng.fl_str_mv |
Immunity and infection : emerging and developed market sovereign spreads over the global financial crisis |
title |
Immunity and infection : emerging and developed market sovereign spreads over the global financial crisis |
spellingShingle |
Immunity and infection : emerging and developed market sovereign spreads over the global financial crisis Sovereign bonds Emerging markets Financial contagion Financial crisis |
title_short |
Immunity and infection : emerging and developed market sovereign spreads over the global financial crisis |
title_full |
Immunity and infection : emerging and developed market sovereign spreads over the global financial crisis |
title_fullStr |
Immunity and infection : emerging and developed market sovereign spreads over the global financial crisis |
title_full_unstemmed |
Immunity and infection : emerging and developed market sovereign spreads over the global financial crisis |
title_sort |
Immunity and infection : emerging and developed market sovereign spreads over the global financial crisis |
dc.creator.fl_str_mv |
Cayón Fallon, Edgardo Thorp, Susan Wu, Eliza |
dc.contributor.author.spa.fl_str_mv |
Cayón Fallon, Edgardo Thorp, Susan Wu, Eliza |
dc.contributor.orcid.none.fl_str_mv |
Cayón Fallon, Edgardo [0000-0002-4113-5521] Thorp, Susan [0000-0003-3462-0876] Wu, Eliza [0000-0003-3937-8660] |
dc.contributor.scopus.none.fl_str_mv |
Cayón Fallon, Edgardo [56395390800] Thorp, Susan [8214890500] Wu, Eliza [8693465100] |
dc.subject.none.fl_str_mv |
Sovereign bonds Emerging markets Financial contagion Financial crisis |
topic |
Sovereign bonds Emerging markets Financial contagion Financial crisis |
description |
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. |
publishDate |
2018 |
dc.date.issued.none.fl_str_mv |
2018-03 |
dc.date.accessioned.none.fl_str_mv |
2023-06-21T22:23:07Z |
dc.date.available.none.fl_str_mv |
2023-06-21T22:23:07Z |
dc.type.none.fl_str_mv |
article |
dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_6501 |
dc.type.coar.none.fl_str_mv |
http://purl.org/coar/resource_type/c_2df8fbb1 |
dc.type.driver.none.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.redcol.none.fl_str_mv |
http://purl.org/redcol/resource_type/ART |
dc.type.coarversion.none.fl_str_mv |
http://purl.org/coar/version/c_71e4c1898caa6e32 |
format |
http://purl.org/coar/resource_type/c_2df8fbb1 |
dc.identifier.issn.none.fl_str_mv |
1566-0141 |
dc.identifier.uri.none.fl_str_mv |
http://hdl.handle.net/10726/5097 |
dc.identifier.instname.none.fl_str_mv |
instname:Colegio de Estudios Superiores de Administración – CESA |
dc.identifier.reponame.none.fl_str_mv |
reponame:Biblioteca Digital – CESA |
dc.identifier.repourl.none.fl_str_mv |
repourl:https://repository.cesa.edu.co/ |
dc.identifier.eissn.none.fl_str_mv |
1873-6173 |
dc.identifier.doi.none.fl_str_mv |
https://doi.org/10.1016/j.ememar.2017.11.006 |
identifier_str_mv |
1566-0141 instname:Colegio de Estudios Superiores de Administración – CESA reponame:Biblioteca Digital – CESA repourl:https://repository.cesa.edu.co/ 1873-6173 |
url |
http://hdl.handle.net/10726/5097 https://doi.org/10.1016/j.ememar.2017.11.006 |
dc.language.iso.none.fl_str_mv |
eng |
language |
eng |
dc.relation.citationvolume.none.fl_str_mv |
34 |
dc.relation.citationstartpage.none.fl_str_mv |
162 |
dc.relation.citationendpage.none.fl_str_mv |
174 |
dc.relation.ispartofjournal.none.fl_str_mv |
Emerging Markets Review |
dc.rights.coar.fl_str_mv |
http://purl.org/coar/access_right/c_16ec |
dc.rights.local.none.fl_str_mv |
Acceso Restringido |
dc.rights.coar.none.fl_str_mv |
http://vocabularies.coar-repositories.org/access_rights/c_16ec/ |
rights_invalid_str_mv |
Acceso Restringido http://vocabularies.coar-repositories.org/access_rights/c_16ec/ http://purl.org/coar/access_right/c_16ec |
dc.publisher.none.fl_str_mv |
Elsevier BV |
publisher.none.fl_str_mv |
Elsevier BV |
institution |
Colegio de Estudios Superiores de Administración |
repository.name.fl_str_mv |
Biblioteca Digital - CESA |
repository.mail.fl_str_mv |
biblioteca@cesa.edu.co |
_version_ |
1793339947163320320 |