Global Factors and Emerging Market Spreads
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Graciela Kaminsky & Sergio L. Schmukler, 2002.
"Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?,"
The World Bank Economic Review, World Bank, vol. 16(2), pages 171-195, August.
- Kaminsky,Graciela & Schmukler,Sergio L., 2001. "Emerging markets instability: do sovereign ratings affect country risk and stock returns?," Policy Research Working Paper Series 2678, The World Bank.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
- Helmut Reisen & Julia Maltzan, 1998.
"Sovereign credit ratings, emerging market risk and financial market volatility,"
Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 33(2), pages 73-82, March.
- Reisen, Helmut & von Maltzan, Julia, 1998. "Sovereign credit ratings, emerging market risk and financial market volatility," HWWA Discussion Papers 55, Hamburg Institute of International Economics (HWWA).
- Reisen, Helmut & von Maltzan, Julia, 1998. "Sovereign Credit Ratings, Emerging Market Risk and Financial Market Volatility," Discussion Paper Series 26222, Hamburg Institute of International Economics.
- Carmen M. Reinhart, 2002.
"Default, Currency Crises, and Sovereign Credit Ratings,"
The World Bank Economic Review, World Bank, vol. 16(2), pages 151-170, August.
- Reinhart, Carmen, 2002. "Default, currency crises, and sovereign credit ratings," MPRA Paper 13917, University Library of Munich, Germany.
- Carmen M. Reinhart, 2002. "Default, Currency Crises and Sovereign Credit Ratings," NBER Working Papers 8738, National Bureau of Economic Research, Inc.
- Guillermo A. Calvo & Leonardo Leiderman & Carmen M. Reinhart, 1993.
"Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors,"
IMF Staff Papers, Palgrave Macmillan, vol. 40(1), pages 108-151, March.
- Mr. Leonardo Leiderman & Ms. Carmen Reinhart & Mr. Guillermo Calvo, 1992. "Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors," IMF Working Papers 1992/062, International Monetary Fund.
- Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1993. "Af1uencia de capital y apreciacion del tipo de cambio real en America Latina: E1 papel de los factores externos [Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of Ex," MPRA Paper 13681, University Library of Munich, Germany.
- Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1993. "“Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors," MPRA Paper 7125, University Library of Munich, Germany.
- Guillermo Larraín & Helmut Reisen & Julia von Maltzan, 1997.
"Emerging Market Risk and Sovereign Credit Ratings,"
OECD Development Centre Working Papers
124, OECD Publishing.
- Von Maltzan, Julia & Larraín, Guillermo & Reisen, Helmut, 1998. "Emerging market risk and sovereign credit ratings," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34380, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
- Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1992.
"Capital Inflows and Real Exchange Rate Appreciation in Latin America,"
MPRA Paper
13843, University Library of Munich, Germany.
- Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1995. "Capital inflows to Latin America with reference to the Asian experience," MPRA Paper 13840, University Library of Munich, Germany.
- Martín González-Rozada & EduardoLevy Yeyati, 2008.
"Global Factors and Emerging Market Spreads,"
Economic Journal,
Royal Economic Society, vol. 118(533), pages 1917-1936, November.
- Eduardo Levy Yeyati & Martín González Rozada, 2005. "Global Factors and Emerging Market Spreads," Business School Working Papers globalfactorsspreads, Universidad Torcuato Di Tella.
- Martín González Rozada & Eduardo Levy Yeyati, 2006. "Global Factors and Emerging Market Spreads," IDB Publications (Working Papers) 6703, Inter-American Development Bank.
- Martín González Rozada & Eduardo Levy Yeyati, 2006. "Global Factors and Emerging Market Spreads," Research Department Publications 4445, Inter-American Development Bank, Research Department.
- Olivier Blanchard, 2004. "Fiscal Dominance and Inflation Targeting: Lessons from Brazil," NBER Working Papers 10389, National Bureau of Economic Research, Inc.
- Alicia Garcia Herrero & Alvaro Ortiz, 2004. "The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads," International Finance 0408001, University Library of Munich, Germany.
- Alicia García-Herrero & Álvaro Ortiz, 2005. "The role of global risk aversion in explaining Latin American sovereign spreads," Working Papers 0505, Banco de España.
- Alicia Garcia Herrero & Alvaro Ortiz, 2005. "The Role Of Global Risk Aversion In Explaining Latin American Sovereign Spreads," International Finance 0503005, University Library of Munich, Germany.
- Levy Yeyati, Eduardo & Sturzenegger, Federico, 2000. "Implications of the euro for Latin America's financial and banking systems," Emerging Markets Review, Elsevier, vol. 1(1), pages 53-81, May.
- Barry Eichengreen & Ashoka Mody, 2000. "What Explains Changing Spreads on Emerging Market Debt?," NBER Chapters, in: Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, pages 107-134, National Bureau of Economic Research, Inc.
- Guillermo A. Calvo & Ernesto Talvi, 2005. "Sudden Stop, Financial Factors and Economic Collpase in Latin America: Learning from Argentina and Chile," NBER Working Papers 11153, National Bureau of Economic Research, Inc.
- G. Ferri & L.-G. Liu & J. E. Stiglitz, 1999. "The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 28(3), pages 335-355, November.
- Mr. Giovanni Dell'Ariccia & Mr. Jeromin Zettelmeyer & Ms. Isabel Schnabel, 2002. "Moral Hazard and International Crisis Lending: A Test," IMF Working Papers 2002/181, International Monetary Fund.
- Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, vol. 2(Oct), pages 37-53.
- Richard Cantor & Frank Packer, 1996. "Determinants and impacts of sovereign credit ratings," Research Paper 9608, Federal Reserve Bank of New York.
- Sebastian Edwards, 2000. "Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies," NBER Books, National Bureau of Economic Research, Inc, number edwa00-1.
- G. S. Maddala & Shaowen Wu, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 631-652, November.
- Martín González-Rozada & EduardoLevy Yeyati, 2008. "Global Factors and Emerging Market Spreads," Economic Journal, Royal Economic Society, vol. 118(533), pages 1917-1936, November.
- Martín González‐Rozada & Eduardo Levy Yeyati, 2008. "Global Factors and Emerging Market Spreads," Economic Journal, Royal Economic Society, vol. 118(533), pages 1917-1936, November.
- Eduardo Levy Yeyati & Martín González Rozada, 2005. "Global Factors and Emerging Market Spreads," Business School Working Papers globalfactorsspreads, Universidad Torcuato Di Tella.
- González Rozada, Martín & Levy Yeyati, Eduardo, 2006. "Global Factors and Emerging Market Spreads," IDB Publications (Working Papers) 1567, Inter-American Development Bank.
- Martín González Rozada & Eduardo Levy Yeyati, 2006. "Global Factors and Emerging Market Spreads," Research Department Publications 4445, Inter-American Development Bank, Research Department.
- repec:bla:obuest:v:61:y:1999:i:0:p:631-52 is not listed on IDEAS Full references (including those not matched with items on IDEAS)
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bussière, M. & Ristiniemi, A., 2012. "Credit Ratings and Debt Crises," Working papers 396, Banque de France.
- Martín González Rozada & Eduardo Levy Yeyati, 2006. "Factores mundiales y diferenciales de intereses en mercados emergentes," Research Department Publications 4446, Inter-American Development Bank, Research Department.
- Jens Hilscher & Yves Nosbusch, 2010.
"Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt,"
Review of Finance, 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.
- Galina Hale, 2005.
"Courage to Capital? A Model of the Effects of Rating Agencies on Sovereign Debt Roll–over,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp062, IIIS.
- Mark A. Carlson & Galina B. Hale, 2005. "Courage to Capital? A Model of the Effects of Rating Agencies on Sovereign Debt Role-over," Cowles Foundation Discussion Papers 1506, Cowles Foundation for Research in Economics, Yale University.
- Thomas Url, 2011. "Ratingagenturen: Verursacher, Verstärker oder im Sog der Staatsschuldenkrise?," WIFO Monatsberichte (monthly reports), WIFO, vol. 84(12), pages 811-825, December.
- Hammer, P.L. & Kogan, A. & Lejeune, M.A., 2006. "Modeling country risk ratings using partial orders," European Journal of Operational Research, Elsevier, vol. 175(2), pages 836-859, December.
- Zoran Ivanovic & Sinisa Bogdan & Suzana Baresa, 2015. "Modeling and Estimating Shadow Sovereign Ratings," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 9(3), September.
- Christopher Balding, 2011. "CDS Pricing and Elections in Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 10(2), pages 121-173, August.
- Özatay, Fatih & Özmen, Erdal & Sahinbeyoglu, Gülbin, 2009.
"Emerging market sovereign spreads, global financial conditions and U.S. macroeconomic news,"
Economic Modelling, Elsevier, vol. 26(2), pages 526-531, March.
- Fatih Ozatay & Erdal Ozmen & Gülbin Sahinbeyoglu, 2007. "Emerging Market Sovereign Spreads, Global Financial Conditions and U.S. Macroeconomic News," ERC Working Papers 0707, ERC - Economic Research Center, Middle East Technical University, revised Dec 2007.
- Fatih Özatay & Erdal Özmen & Gülbin Sahinbeyoglu, 2008. "Emerging Market Sovereign Spreads, Global Financial Conditions and US Macroeconomic News," Working Papers 400, Economic Research Forum, revised 03 Jan 2008.
- Eduardo Cavallo & Andrew Powell & Roberto Rigobon, 2008.
"Do Credit Rating Agencies Add Value? Evidence from the Sovereign Rating Business Institutions,"
Research Department Publications
4601, Inter-American Development Bank, Research Department.
- Cavallo, Eduardo A. & Powell, Andrew & Rigobón, Roberto, 2008. "Do Credit Rating Agencies Add Value?: Evidence from the Sovereign Rating Business Institutions," IDB Publications (Working Papers) 1634, Inter-American Development Bank.
- Mora, Nada, 2006. "Sovereign credit ratings: Guilty beyond reasonable doubt?," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2041-2062, July.
- Böninghausen, Benjamin & Zabel, Michael, 2013. "Credit Ratings and Cross-Border Bond Market Spillovers," MPRA Paper 47390, University Library of Munich, Germany.
- Samir Jahjah & Bin Wei & Vivian Zhanwei Yue, 2013.
"Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1275-1300, October.
- Samir Jahjah & Bin Wei & Vivian Zhanwei Yue, 2013. "Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1275-1300, October.
- Miss Zhanwei Z. Yue & Mr. Samir Jahjah, 2004. "Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries," IMF Working Papers 2004/210, International Monetary Fund.
- Samir Jahjah & Bin Wei & Vivian Z. Yue, 2012. "Exchange rate policy and sovereign bond spreads in developing countries," International Finance Discussion Papers 1049, Board of Governors of the Federal Reserve System (U.S.).
- Jahjah, Samir & Wei, Bin & Yue, Zhanwei, 2013. "Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries," MPRA Paper 74924, University Library of Munich, Germany.
- Weneyam Hippolyte Balima & Jean-Louis Combes & Alexandru Minea, 2015.
"Sovereign Debt Risk in Emerging Countries: Does Inflation Targeting Adoption Make Any Difference?,"
CERDI Working papers
halshs-01128239, HAL.
- Weneyam Hippolyte Balima & Jean-Louis Combes & Alexandru Minea, 2015. "Sovereign Debt Risk in Emerging Countries: Does Inflation Targeting Adoption Make Any Difference?," Working Papers halshs-01128239, HAL.
- Alexandru MINEA & Jean-Louis COMBES & Weneyam Hippolyte BALIMA, 2015. "Sovereign Debt Risk in Emerging Countries: Does Inflation Targeting Adoption Make Any Difference?," Working Papers 201504, CERDI.
- Cowan, Kevin, 2006. "Comment," LSE Research Online Documents on Economics 123403, London School of Economics and Political Science, LSE Library.
- El-Shagi, Makram & Schweinitz, Gregor von, 2018.
"The joint dynamics of sovereign ratings and government bond yields,"
Journal of Banking & Finance, Elsevier, vol. 97(C), pages 198-218.
- El-Shagi, Makram & von Schweinitz, Gregor, 2015. "The Joint Dynamics of Sovereign Ratings and Government Bond Yields," IWH Discussion Papers 4/2015, Halle Institute for Economic Research (IWH).
- El-Shagi, Makram & von Schweinitz, Gregor, 2016. "The joint dynamics of sovereign ratings and government bond yields," Discussion Papers 13/2016, Deutsche Bundesbank.
- von Schweinitz, Gregor & El-Shagi, Makram, 2016. "The Joint Dynamics of Sovereign Ratings and Government Bond Yields," VfS Annual Conference 2016 (Augsburg): Demographic Change 145894, Verein für Socialpolitik / German Economic Association.
- Lizarazo, Sandra Valentina, 2013.
"Default risk and risk averse international investors,"
Journal of International Economics, Elsevier, vol. 89(2), pages 317-330.
- Sandra Lizarazo, 2009. "Default Risk and Risk Averse International Investors," Working Papers 0907, Centro de Investigacion Economica, ITAM.
- Lizarazo, Sandra, 2010. "Default Risk and Risk Averse International Investors," MPRA Paper 20794, University Library of Munich, Germany.
- Broto, Carmen & Molina, Luis, 2016.
"Sovereign ratings and their asymmetric response to fundamentals,"
Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 206-224.
- Carmen Broto & Luis Molina, 2014. "Sovereign ratings and their asymmetric response to fundamentals," Working Papers 1428, Banco de España.
- Mr. John Kiff & Sylwia Nowak & Miss Liliana B Schumacher, 2012. "Are Rating Agencies Powerful? An Investigation Into the Impact and Accuracy of Sovereign Ratings," IMF Working Papers 2012/023, International Monetary Fund.
- Graciela Kaminsky & Sergio L. Schmukler, 2002.
"Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?,"
The World Bank Economic Review, World Bank, vol. 16(2), pages 171-195, August.
- Kaminsky,Graciela & Schmukler,Sergio L., 2001. "Emerging markets instability: do sovereign ratings affect country risk and stock returns?," Policy Research Working Paper Series 2678, The World Bank.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecj:econjl:v:118:y:2008:i:533:p:1917-1936. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/resssea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.