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Testing contagion with propensity matching estimators : a three country empirical example
| dc.contributor.author | Cayón Fallon, Edgardo | spa |
| dc.contributor.author | Sarmiento Sabogal, Julio Alejandro | spa |
| dc.date.accessioned | 2023-06-21T22:23:11Z | |
| dc.date.available | 2023-06-21T22:23:11Z | |
| dc.date.issued | 2014 | |
| dc.identifier.issn | 1450-202X | |
| dc.identifier.uri | http://hdl.handle.net/10726/5126 | |
| dc.language.iso | eng | |
| dc.publisher | EuroJournals | |
| dc.title | Testing contagion with propensity matching estimators : a three country empirical example | eng |
| dc.type | article | |
| dc.rights.accessrights | info:eu-repo/semantics/openAccess | |
| dc.rights.local | Abierto (Texto Completo) | |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | |
| dc.identifier.instname | instname:Colegio de Estudios Superiores de Administración – CESA | |
| dc.identifier.reponame | reponame:Biblioteca Digital – CESA | |
| dc.identifier.repourl | repourl:https://repository.cesa.edu.co/ | |
| dc.description.abstractenglish | We analyse the effect of the Global Financial Crisis (GFC) on portfolios of USD denominated sovereign bonds. We use propensity matching estimators in order to measure the average difference in the volatility of sovereign spreads between the non-crisis and crisis period. We use a parsimonious factor model of local and global variables to create a set of common observable characteristics. This setup allows us to test the hypothesis of change in prices for three countries between non-crisis and different crisis periods of the GFC via counterfactuals. | eng |
| dc.type.coar | http://purl.org/coar/resource_type/c_2df8fbb1 | |
| dc.relation.citationvolume | 122 | |
| dc.relation.citationissue | 1 | |
| dc.relation.citationstartpage | 107 | |
| dc.relation.citationendpage | 113 | |
| dc.contributor.orcid | Cayón Fallon, Edgardo [0000-0002-4113-5521] | |
| dc.contributor.orcid | Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813] | |
| dc.type.driver | info:eu-repo/semantics/article | |
| dc.type.redcol | http://purl.org/redcol/resource_type/ART | |
| dc.type.coarversion | http://purl.org/coar/version/c_71e4c1898caa6e32 | |
| dc.contributor.scopus | Cayón Fallon, Edgardo [56395390800] | |
| dc.contributor.scopus | Sarmiento Sabogal, Julio Alejandro [57196465468] | |
| dc.description.orcid | https://orcid.org/0000-0002-4113-5521 | |
| dc.description.orcid | https://orcid.org/0000-0001-5986-4813 | |
| dc.description.scopus | https://www.scopus.com/authid/detail.uri?authorId=56395390800 | |
| dc.description.scopus | https://www.scopus.com/authid/detail.uri?authorId=57196465468 | |
| dc.identifier.eissn | 1450-216X | |
| dc.relation.ispartofjournal | European Journal of Scientific Research | |
| dc.identifier.url | https://ssrn.com/abstract=2541504 | |
| dc.rights.coar | http://purl.org/coar/access_right/c_abf2 |
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