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...
- 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)
Summary: | 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 model of local and global variables to create a set of common observable characteristics. This setup allows us to test the hypothesis of change in prices for three countries between non-crisis and different crisis periods of the GFC via counterfactuals. |
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