Testing contagion with propensity matching estimators : a three country empirical example

We analyse the effect of the Global Financial Crisis (GFC) on portfolios of USD denominated sovereign bonds. We use propensity matching estimators in order to measure the average difference in the volatility of sovereign spreads between the non-crisis and crisis period. We use a parsimonious factor...

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Autores:

Cayón Fallon, Edgardo
Sarmiento Sabogal, Julio Alejandro

Tipo de recurso:

Article of investigation

Fecha de publicación:

2014

Institución:

Colegio de Estudios Superiores de Administración

Repositorio:

Repositorio CESA

Idioma:

eng

OAI Identifier:

oai:repository.cesa.edu.co:10726/5126

Acceso en línea:

http://hdl.handle.net/10726/5126
https://ssrn.com/abstract=2541504

Palabra clave:

Rights

openAccess

License

Abierto (Texto Completo)