Financial Spillovers to Chile
This paper quantifies financial spillovers from global risk factors to banksâ€™ funding costs in Chile. It decomposes Chilean banksâ€™ bond and interbank spreads into domestic and external factors. The results suggest moderate spillovers. On average, global spillovers pushed up bank bond and interbank spreads in Chile by about 50 basis points in 2008â€“12. While in 2008â€“09, most spillovers originated in the U.S., in mid-2010 onwards, European distress played a prominent role.
|Date of creation:||24 Oct 2012|
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- Nathaniel Frank & Heiko Hesse, 2009.
"Financial Spillovers to Emerging Markets during the Global Financial Crisis,"
Czech Journal of Economics and Finance (Finance a uver),
Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 507-521, December.
- Nathaniel Frank & Heiko Hesse, 2009. "Financial Spillovers to Emerging Markets During the Global Financial Crisis," IMF Working Papers 09/104, .
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
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- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Gregory R. Duffee, 1998. "The Relation Between Treasury Yields and Corporate Bond Yield Spreads," Journal of Finance, American Finance Association, vol. 53(6), pages 2225-2241, December.
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