Sovereign Spreads and Contagion Risks in Asia

WPIEA2011134 Image
Price:  $18.00

Author/Editor: Filiz Unsal, Carlos Caceres
Release Date: © June, 2011
ISBN : 978-1-45525-939-7
Stock #: WPIEA2011134
Stock Status: On back-order

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This paper explores how much of the movements in the sovereign spreads of Asian economies over the course of the global financial crisis has reflected shifts in (i) global risk aversion; (ii) country-specific risks, directly from worsening fundamentals, and indirectly from spillovers originating in other sovereigns and the uncertainty surrounding exchange rates. Earlier in the crisis, the increase in market-implied contagion led to higher Asian sovereign bond yield spreads over swaps. But, after the crisis, Asia’s sovereign spreads normalized, despite the debt crisis in the euro area, reflecting a fall in both exchange rate and spillover risks.


Bond markets , Capital markets , Economic policy , Financial crisis , Financial institutions and markets , Fiscal policy , International financial system

More publications in this series: Working Papers

More publications by: Filiz Unsal ; Carlos Caceres