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Immunity and infection : emerging and developed market sovereign spreads over the global financial crisis
(Elsevier BV, 2018-03)
We compare sovereign bond spreads during the international financial crisis across groups drawn from 43 countries, including 20 emerging economies. We extend traditional factor analyses and utilize propensity score matching ...
Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuela
(Elsevier Inc., 2017-10)
Purpose
We test the informational efficiency of Venezuelan USD sovereign bond yields when the black market exchange-rate premium (BMERP) changes.
Design
We use a non-parametric, asymmetric, Granger causality test to ...