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An empirical analysis of limited recourse project Author info | Abstract | Publisher info | Download info | Related research | Statistics Kleimeier,Stefanie
William L. Megginson (METEOR)
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Our study extends on conventional measures of contagion by directly investigating changes in the existence and the directions of causality. In particular, we apply a Granger-causality methodology on sovereign bond spreads as a measure of perceived country risk. For the Asian crisis, we find evidence for new and changed causality patterns on a regional level. With the arrival of the Russian crisis, causality patterns were changing not only on a regional but also on a global level.
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Paper provided by Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization in its series Research Memoranda with number
066.
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Date of creation: 2002Date of revision:
Handle: RePEc:dgr:umamet:2002066Contact details of provider: Web page: http://edocs.ub.unimaas.nl/
For technical questions regarding this item, or to correct its listing, contact: (Willy Villevoye).
Keywords: Economics ; This paper has been announced in the following NEP Reports :
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Vink, Dennis, 2007.
"ABS, MBS and CDO compared: an empirical analysis ,"
MPRA Paper
10381, University Library of Munich, Germany, revised 09 Sep 2008.
[Downloadable!]
Vink, Dennis, 2007.
"An Empirical Analysis of Asset-Backed Securitization ,"
MPRA Paper
10382, University Library of Munich, Germany, revised 25 Aug 2008.
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Christa Hainz & Stefanie Kleimeier, 2006.
"Project Finance as a Risk-Management Tool in International Syndicated Lending ,"
Discussion Papers
183, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
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Christa Hainz & Stefanie Kleimeier, 2004.
"Political Risk in Syndicated Lending:Theory and Empirical Evidence Regarding the Use of ProjectFinance ,"
Departmental Working Papers
197, Tor Vergata University, CEIS.
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