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An empirical analysis of limited recourse project

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Author Info

  • 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
Date of revision:
Handle: RePEc:unm:umamet:2002066

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Postal: P.O. Box 616, 6200 MD Maastricht
Phone: +31 (0)43 38 83 830
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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 183, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.

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