Spatial spillovers in emerging market spreads
Author
Abstract
Suggested Citation
DOI: 10.1007/s00181-012-0644-7
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Salvatore Dell'Erba & Emanuele Baldacci & Tigran Poghosyan, 2011. "Spatial Spillovers in Emerging Market Spreads," IMF Working Papers 11/221, International Monetary Fund.
References listed on IDEAS
- Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 463-484, December.
- Debarsy, Nicolas & Ertur, Cem, 2010.
"Testing for spatial autocorrelation in a fixed effects panel data model,"
Regional Science and Urban Economics,
Elsevier, vol. 40(6), pages 453-470, November.
- Nicolas Debarsy & Cem Ertur, 2009. "Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model," Post-Print halshs-00414133, HAL.
- Nicolas DEBARSY (CERPE De Namur) & Cem ERTUR, 2009. "Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model," LEO Working Papers / DR LEO 1546, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Kukenova, Madina & Monteiro, Jose-Antonio, 2008.
"Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation,"
MPRA Paper
11569, University Library of Munich, Germany, revised Nov 2008.
- José-Antonio Monteiro & Madina Kukenova, 2009. "Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation," IRENE Working Papers 09-01, IRENE Institute of Economic Research.
- Kukenova, Madina & Monteiro, Jose-Antonio, 2008. "Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation," MPRA Paper 13405, University Library of Munich, Germany, revised Feb 2009.
- M. Ayhan Kose & Christopher Otrok & Eswar Prasad, 2012.
"Global Business Cycles: Convergence Or Decoupling?,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 511-538, May.
- M. Ayhan Kose & Christopher Otrok & Eswar S. Prasad, 2008. "Global Business Cycles: Convergence or Decoupling?," NBER Working Papers 14292, National Bureau of Economic Research, Inc.
- Kose, M. Ayhan & Otrok, Christopher & Prasad, Eswar, 2008. "Global Business Cycles: Convergence or Decoupling?," IZA Discussion Papers 3442, Institute for the Study of Labor (IZA).
- Ayhan Kose & Eswar S Prasad & Christopher Otrok, 2008. "Global Business Cycles; Convergence or Decoupling?," IMF Working Papers 08/143, International Monetary Fund.
- Kose, M. Ayhan & Otrok, Christopher M. & Prasad, Eswar S., 2008. "Global business cycles: convergence or decoupling?," Discussion Paper Series 1: Economic Studies 2008,17, Deutsche Bundesbank.
- Durbin, Erik & Ng, David, 2005.
"The sovereign ceiling and emerging market corporate bond spreads,"
Journal of International Money and Finance,
Elsevier, vol. 24(4), pages 631-649, June.
- Durbin, Erik & Ng, David T.C., 2002. "The Sovereign Ceiling and Emerging Market Corporate Bond Spreads," Working Papers 127286, Cornell University, Department of Applied Economics and Management.
- Ranil M Salgado & Luca A Ricci & Francesco Caramazza, 2000. "Trade and Financial Contagion in Currency Crises," IMF Working Papers 00/55, International Monetary Fund.
- Uribe, Martin & Yue, Vivian Z., 2006.
"Country spreads and emerging countries: Who drives whom?,"
Journal of International Economics,
Elsevier, vol. 69(1), pages 6-36, June.
- Martin Uribe & Vivian Z. Yue, 2004. "Country spreads and emerging countries: who drives whom?," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
- Martin Uribe & Vivian Z. Yue, 2003. "Country Spreads and Emerging Countries: Who Drives Whom?," NBER Working Papers 10018, National Bureau of Economic Research, Inc.
- Edda Zoli & Silvia Sgherri, 2009. "Euro Area Sovereign Risk During the Crisis," IMF Working Papers 09/222, International Monetary Fund.
- Salvatore Dell’Erba & Sergio Sola, 2011. "Expected fiscal policy and interest rates in open economy," IHEID Working Papers 07-2011, Economics Section, The Graduate Institute of International Studies.
- Kaminsky, Graciela L. & Reinhart, Carmen M., 2000.
"On crises, contagion, and confusion,"
Journal of International Economics,
Elsevier, vol. 51(1), pages 145-168, June.
- Reinhart, Carmen & Kaminsky, Graciela, 1998. "On crises, contagion, and confusion," MPRA Paper 13709, University Library of Munich, Germany.
- Claessens, Stijn & Tong, Hui & Wei, Shang-Jin, 2012.
"From the financial crisis to the real economy: Using firm-level data to identify transmission channels,"
Journal of International Economics,
Elsevier, vol. 88(2), pages 375-387.
- Stijn Claessens & Hui Tong & Shang-Jin Wei, 2011. "From the Financial Crisis to the Real Economy: Using Firm-level Data to Identify Transmission Channels," NBER Chapters,in: Global Financial Crisis National Bureau of Economic Research, Inc.
- Stijn Claessens & Hui Tong & Shang-Jin Wei, 2011. "From the Financial Crisis to the Real Economy: Using Firm-level Data to Identify Transmission Channels," NBER Working Papers 17360, National Bureau of Economic Research, Inc.
- Hui Tong & Shang-Jin Wei, 2011.
"The Composition Matters: Capital Inflows and Liquidity Crunch During a Global Economic Crisis,"
Review of Financial Studies,
Society for Financial Studies, vol. 24(6), pages 2023-2052.
- Hui Tong & Shang-Jin Wei, 2009. "The Composition Matters; Capital Inflows and Liquidity Crunch During a Global Economic Crisis," IMF Working Papers 09/164, International Monetary Fund.
- Hui Tong & Shang-Jin Wei, 2010. "The Composition Matters: Capital Inflows and Liquidity Crunch during a Global Economic Crisis," Working Papers 172010, Hong Kong Institute for Monetary Research.
- Hui Tong & Shang-Jin Wei, 2009. "The Composition Matters: Capital Inflows and Liquidity Crunch during a Global Economic Crisis," NBER Working Papers 15207, National Bureau of Economic Research, Inc.
- 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) 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.
- Bernardin Akitoby & Thomas Stratmann, 2008.
"Fiscal Policy and Financial Markets,"
Economic Journal,
Royal Economic Society, vol. 118(533), pages 1971-1985, November.
- Bernardin Akitoby & Thomas Stratmann, 2006. "Fiscal Policy and Financial Markets," IMF Working Papers 06/16, International Monetary Fund.
- Thomas Laubach, 2009.
"New Evidence on the Interest Rate Effects of Budget Deficits and Debt,"
Journal of the European Economic Association,
MIT Press, vol. 7(4), pages 858-885, June.
- Thomas Laubach, 2003. "New evidence on the interest rate effects of budget deficits and debt," Finance and Economics Discussion Series 2003-12, Board of Governors of the Federal Reserve System (U.S.).
- Manmohan S. Kumar & Emanuele Baldacci, 2010. "Fiscal Deficits, Public Debt, and Sovereign Bond Yields," IMF Working Papers 10/184, International Monetary Fund.
- Hernandez, Leonardo F. & Valdes, Rodrigo O., 2001.
"What drives contagion: Trade, neighborhood, or financial links?,"
International Review of Financial Analysis,
Elsevier, vol. 10(3), pages 203-218.
- Rodrigo O. Valdes & Leonardo Hernández, 2001. "What Drives Contagion; Trade Neighborhood, or Financial Links?," IMF Working Papers 01/29, International Monetary Fund.
- Sanjeev Gupta & Amine Mati & Emanuele Baldacci, 2008. "Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets," IMF Working Papers 08/259, International Monetary Fund.
- Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014.
"A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk,"
Journal of Finance,
American Finance Association, vol. 69(6), pages 2689-2739, December.
- Viral V. Acharya & Itamar Drechsler & Philipp Schnabl, 2011. "A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk," NBER Working Papers 17136, National Bureau of Economic Research, Inc.
- Acharya, Viral V & Drechsler, Itamar & Schnabl, Philipp, 2011. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," CEPR Discussion Papers 8679, C.E.P.R. Discussion Papers.
- Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2011. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," Working Papers 2012-004, Becker Friedman Institute for Research In Economics.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics,
Elsevier, vol. 115(1), pages 53-74, July.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Tom Doan, "undated". "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- Massimo Sbracia & Andrea Zaghini, 2003.
"The Role of the Banking System in the International Transmission of Shocks,"
The World Economy,
Wiley Blackwell, vol. 26(5), pages 727-754, 05.
- Massimo Sbracia & Andrea Zaghini, 2001. "The Role of the Banking System in the International Transmission of Shocks," Temi di discussione (Economic working papers) 409, Bank of Italy, Economic Research and International Relations Area.
- Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
- Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
- Edwards, Sebastian, 1984. "LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80," American Economic Review, American Economic Association, vol. 74(4), pages 726-734, September.
- Patrick McGuire & Martijn A Schrijvers, 2003. "Common factors in emerging market spreads," BIS Quarterly Review, Bank for International Settlements, December.
- Harry Kelejian & George Tavlas & George Hondroyiannis, 2006. "A Spatial Modelling Approach to Contagion Among Emerging Economies," Open Economies Review, Springer, vol. 17(4), pages 423-441, December.
- Axel Schimmelpfennig & Nouriel Roubini & Paolo Manasse, 2003. "Predicting Sovereign Debt Crises," IMF Working Papers 03/221, International Monetary Fund.
- Van Rijckeghem, Caroline & Weder, Beatrice, 2001. "Sources of contagion: is it finance or trade?," Journal of International Economics, Elsevier, vol. 54(2), pages 293-308, August.
- Stephan Danninger & Irina Tytell & Ravi Balakrishnan & Selim Elekdag, 2009. "The Transmission of Financial Stress from Advanced to Emerging Economies," IMF Working Papers 09/133, International Monetary Fund.
- Emre Alper & Lorenzo Forni, 2011. "Public Debt in Advanced Economies and its Spillover Effectson Long-Term Yields," IMF Working Papers 11/210, International Monetary Fund. Full references (including those not matched with items on IDEAS)
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:- Tonzer, Lena, 2015.
"Cross-border interbank networks, banking risk and contagion,"
Journal of Financial Stability,
Elsevier, vol. 18(C), pages 19-32.
- Lena Tonzer, 2013. "Cross-Border Interbank Networks, Banking Risk and Contagion," FIW Working Paper series 129, FIW.
- Shugo Yamamoto, 2015. "Banking Network Amplification Effects on Cross-Border Bank Flows," Discussion Papers 1533, Graduate School of Economics, Kobe University.
- Andrea Presbitero & Dhaneshwar Ghura & Olumuyiwa S Adedeji & Lamin Njie, 2015. "International Sovereign Bonds by Emerging Markets and Developing Economies; Drivers of Issuance and Spreads," IMF Working Papers 15/275, International Monetary Fund.
- 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.
- repec:eco:journ1:2017-05-48 is not listed on IDEAS
More about this item
Keywords
Sovereign spreads; Emerging market; Spillovers; Spatiale conometrics; C23; F30; F32;JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- F30 - International Economics - - International Finance - - - General
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
Statistics
Access and download statisticsCorrections
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:spr:empeco:v:45:y:2013:i:2:p:735-756. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
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 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.