Contagion and portfolio shift in emerging countries' sovereign bonds
AbstractThe paper tests whether there were events of contagion, and portfolio shift, in the sovereign bond markets of eleven emerging countries' between January 1995 and November 2001. From existing definitions, we narrow down the concept of contagion by focusing on pricing errors, after general market movements haven been taken into account with a three factor asset pricing model. We measure contagion (and portfolio shift) in terms of a causal positive (negative) dynamic co movement between sovereign bond pricing errors. Downgrades of sovereign ratings are used as proxies for a shock. We find empirical support for contagion and portfolio shift for a number of countries on the basis of our definition.
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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0317.
Length: 32 pages
Date of creation: Dec 2003
Date of revision:
Financial linkages; financial crisis; Granger causality; international asset pricing;
Other versions of this item:
- Alicia Garcia Herrero & Antonio Diez de los Rios, 2004. "Contagion And Portfolio Shift In Emerging Countries´ Sovereign Bonds," International Finance 0403002, EconWPA.
- F30 - International Economics - - International Finance - - - General
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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