Spatial Spillovers in Emerging Market Spreads

WPIEA2011221 Image
Price:  $18.00

Author/Editor: Emanuele Baldacci, Salvatore Dell'Erba, Tigran Poghosyan
Release Date: © September, 2011
ISBN : 978-1-46390-423-4
Stock #: WPIEA2011221
English
Stock Status: On back-order

Languages and formats available

EnglishFrenchSpanishArabicRussianChinesePortuguese
PaperbackYes
PDFYes

Description

We use novel spatial econometrics techniques to explore spillovers in the sovereign bond market for 24 emerging economies during 1995-2010. The paper extends the previous literature focusing on spillover effects from advanced to emerging economies by analyzing transmission of shocks across emerging markets. After controlling for the impact of global factors, we find strong evidence of spillovers from both sovereign spreads and macroeconomic fundamentals in neighboring emerging economies. In addition to the geographical proximity, the channels of spatial transmission include trade and financial linkages. The results of the paper highlight the importance of accounting not only for spillovers from advanced economies to emerging markets, but also across emerging markets when analyzing sovereign spreads.

Taxonomy

Bond markets , Capital markets , Financial crisis , Financial institutions and markets , International financial system




More publications in this series: Working Papers


More publications by: Emanuele Baldacci ; Salvatore Dell'Erba ; Tigran Poghosyan