Trends of the Contagion Risk in Sovereign Spreads for Emerging European Countries
AbstractWe investigate the sovereign spreads behavior of the European emerging countries using the clustering technique. Our main finding is that the distances between spreads during high volatile times is significantly lower than in normal periods, that is, the correlation is much higher. Secondly, the market sentiment explains a much higher percentage of the spreads movements during turbulent times. Thirdly, the link between spreads and macroeconomic fundamentals seems to be blurred compared with the expectations from the economic theory.
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Bibliographic InfoArticle provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.
Volume (Year): (2010)
Issue (Month): 2 (July)
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More information through EDIRC
contagion spreads; emerging markets; clustering;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
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