Spatial Spillovers in Emerging Market Spreads PDF
By:Mr. Salvatore Dell'Erba,Mr. Emanuele Baldacci,Tigran Poghosyan
Published on 2011-09-01 by International Monetary Fund
We use novel spatial econometrics techniques to explore spillovers in the sovereign bond market for 24 emerging economies during 1995-2010. The paper extends the previous literature focusing on spillover effects from advanced to emerging economies by analyzing transmission of shocks across emerging markets. After controlling for the impact of global factors, we find strong evidence of spillovers from both sovereign spreads and macroeconomic fundamentals in neighboring emerging economies. In addition to the geographical proximity, the channels of spatial transmission include trade and financial linkages. The results of the paper highlight the importance of accounting not only for spillovers from advanced economies to emerging markets, but also across emerging markets when analyzing sovereign spreads.
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Book ID of Spatial Spillovers in Emerging Market Spreads's Books is qhC1_WC1vPwC, Book which was written byMr. Salvatore Dell'Erba,Mr. Emanuele Baldacci,Tigran Poghosyanhave ETAG "UD1YlZce0Y0"
Book which was published by International Monetary Fund since 2011-09-01 have ISBNs, ISBN 13 Code is 9781463992705 and ISBN 10 Code is 146399270X
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