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An empirical analysis of limited recourse project

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  • Kleimeier,Stefanie
  • William L. Megginson

    (METEOR)

Abstract

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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Bibliographic Info

Paper provided by Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) in its series Research Memorandum with number 066.

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Date of creation: 2002
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Handle: RePEc:unm:umamet:2002066

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Postal: P.O. Box 616, 6200 MD Maastricht
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Web page: http://www.maastrichtuniversity.nl/
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Keywords: Economics ;

References

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Cited by:
  1. Hainz, Christa & Kleimeier, Stefanie, 2006. "Project Finance as a Risk-Management Tool in International Syndicated Lending," Discussion Paper Series of 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 183, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.

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