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Spatial Spillovers in Emerging Market Spreads

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Author Info

  • Salvatore Dell'Erba
  • Emanuele Baldacci
  • Tigran Poghosyan

Abstract

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.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 11/221.

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Length: 28
Date of creation: 01 Sep 2011
Date of revision:
Handle: RePEc:imf:imfwpa:11/221

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Related research

Keywords: Spillovers; Bonds; Developed countries; Economic models; External debt; Global Financial Crisis 2008-2009; Sovereign debt;

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References

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Citations

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Cited by:
  1. Lena Tonzer, 2013. "Cross-Border Interbank Networks, Banking Risk and Contagion," FIW Working Paper series 129, FIW.
  2. Jarko Fidrmuc & Iikka Korhonen & Ivana Bátorová, 2013. "China in the World Economy: Dynamic Correlation Analysis of Business Cycles," CESifo Economic Studies, CESifo, vol. 59(2), pages 392-411, June.
  3. Nazim Belhocine & Salvatore Dell'Erba, 2013. "The Impact of Debt Sustainability and the Level of Debt on Emerging Markets Spreads," IMF Working Papers 13/93, International Monetary Fund.

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