Sovereign Spread in Emerging Markets: A Principal Component Analysis
We investigates the behavior of daily bond stripped spreads on sovereign bonds for 18 emerging market economies located in Asia, East Europe and Latin America from September 1997 to November 2002. In the emerging market world, financial crises are seen more often than not. An obvious question is whether these events, each associated with a particular country, spread to other countries, regardless of economic fundamentals at that specific point in time. That is, if the ‘simultaneous’ movements that we observe in spreads across emerging market economies are linked to economic fundamentals. We find that the correlation across countries is regionally dominated. Spreads from sovereigns with high savings rates, low indebtedness and good credit ratings are less likely to co-move with spreads where financial crises are being originated.
|Date of creation:||Nov 2005|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (562) 670 2000
Fax: (562) 698 4847
Web page: http://www.bcentral.cl/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fifield, S G M & Power, D M & Sinclair, C D, 2002. "Macroeconomic Factors and Share Returns: An Analysis Using Emerging Market Data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(1), pages 51-62, January.
- Cifarelli, Giulio & Paladino, Giovanna, 2006. "Volatility co-movements between emerging sovereign bonds: Is there segmentation between geographical areas?," Global Finance Journal, Elsevier, vol. 16(3), pages 245-263, March.
- Andrea Cipollini & George Kapetanios, 2004.
"A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data,"
506, Queen Mary University of London, School of Economics and Finance.
- Cipollini, A. & Kapetanios, G., 2008. "A stochastic variance factor model for large datasets and an application to S&P data," Economics Letters, Elsevier, vol. 100(1), pages 130-134, July.
- Abad, Pilar & Novales, Alfonso, 2005.
"An error correction factor model of term structure slopes in international swap markets,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 15(3), pages 229-254, July.
- Pilar Abad & Alfonso Novales, 2002. "An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets," Documentos de Trabajo del ICAE 0222, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-49, July.
- Klaassen, F.J.G.M., 1999. "Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model," Discussion Paper 1999-10, Tilburg University, Center for Economic Research.
- Fengler, Matthias R. & Härdle, Wolfgang K. & Villa, Christophe, 2001.
"The dynamics of implied volatilities: A common principal components approach,"
SFB 373 Discussion Papers
2001,38, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003. "The Dynamics of Implied Volatilities: A Common Principal Components Approach," Review of Derivatives Research, Springer, vol. 6(3), pages 179-202, October.
- Valentín Délano & Jorge Selaive, 2005. "Spreads Soberanos: Una Aproximación Factorial," Working Papers Central Bank of Chile 309, Central Bank of Chile.
When requesting a correction, please mention this item's handle: RePEc:chb:bcchwp:333. 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: (Claudio Sepulveda)
If references are entirely missing, you can add them using this form.