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An empirical analysis of limited recourse project

  • Kleimeier Stefanie
  • William L. Megginson

    (METEOR)

Our study extends on conventional measures of contagion by directly investigating changes in the existence and the directions of causality. In particular, we apply a Granger-causality methodology on sovereign bond spreads as a measure of perceived country risk. For the Asian crisis, we find evidence for new and changed causality patterns on a regional level. With the arrival of the Russian crisis, causality patterns were changing not only on a regional but also on a global level.

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File URL: http://digitalarchive.maastrichtuniversity.nl/fedora/objects/guid:dbd1c605-a4e0-4a20-994c-754cdc707367/datastreams/ASSET1/content
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Paper provided by Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) in its series Research Memorandum with number 066.

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Date of creation: 2002
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Handle: RePEc:unm:umamet:2002066
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