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...

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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
Acceso en línea:
http://hdl.handle.net/10726/5097
https://doi.org/10.1016/j.ememar.2017.11.006
Palabra clave:
Sovereign bonds
Emerging markets
Financial contagion
Financial crisis
Rights
License
Acceso Restringido
id CESA2_2198579e62c5df7cf915c9fa016d24e8
oai_identifier_str oai:repository.cesa.edu.co:10726/5097
network_acronym_str CESA2
network_name_str Repositorio CESA
repository_id_str
spelling 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
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