Identification of Driving Factors for Emerging Markets Sovereign Spreads
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References listed on IDEAS
- Robert A. Jarrow & David Lando & Fan Yu, 2008.
"Default Risk And Diversification: Theory And Empirical Implications,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 19, pages 455-480
World Scientific Publishing Co. Pte. Ltd..
- Robert A. Jarrow & David Lando & Fan Yu, 2005. "Default Risk And Diversification: Theory And Empirical Implications," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 1-26.
- Jens Hilscher & Yves Nosbusch, 2010.
"Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt,"
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European Finance Association, vol. 14(2), pages 235-262.
- Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007.
- Paolo Mauro & Nathan Sussman & Yishay Yafeh, 2002.
"Emerging Market Spreads: Then versus Now,"
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Oxford University Press, vol. 117(2), pages 695-733.
- Yishay Yafeh & Paolo Mauro & Nathan Sussman, 2000. "Emerging Market Spreads; Then Versus Now," IMF Working Papers 00/190, International Monetary Fund.
- Paolo Mauro & Yishay Yafeh & Nathan Sussman, 2001. "Emerging Market Spreads: Then Versus Now," OFRC Working Papers Series 2001fe03, Oxford Financial Research Centre.
- Alicia Garcia-Herrero & Alvaro Ortiz, 2006. "The Role of Global Risk Aversion in Explaining Sovereign Spreads," ECONOMIA JOURNAL, THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION - LACEA, vol. 0(Fall 2006), pages 125-155, August.
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- Bouri, Elie & de Boyrie, Maria E. & Pavlova, Ivelina, 2017. "Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 155-165.
More about this item
KeywordsBond spread; Cointegration; Emerging market CDS; Sovereign bond;
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- F3 - International Economics - - International Finance
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