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Immunity and infection : emerging and developed market sovereign spreads over the global financial crisis

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dc.contributor.authorCayón Fallon, Edgardospa
dc.contributor.authorThorp, Susanspa
dc.contributor.authorWu, Elizaspa
dc.contributor.orcidCayón Fallon, Edgardo [0000-0002-4113-5521]
dc.contributor.orcidThorp, Susan [0000-0003-3462-0876]
dc.contributor.orcidWu, Eliza [0000-0003-3937-8660]
dc.contributor.scopusCayón Fallon, Edgardo [56395390800]
dc.contributor.scopusThorp, Susan [8214890500]
dc.contributor.scopusWu, Eliza [8693465100]
dc.date.accessioned2023-06-21T22:23:07Z
dc.date.available2023-06-21T22:23:07Z
dc.date.issued2018-03
dc.description.abstractenglishWe 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 to select a non-crisis sample for comparison with the crisis sample that is more robust to exogenous crisis dating. We find minimal changes over the crisis period in the average spreads of local-currency-denominated emerging market bonds. In contrast, the spreads of peripheral Eurozone sovereign bonds increased by large amounts and were subject to sovereign risk contagion.eng
dc.description.orcidhttps://orcid.org/0000-0002-4113-5521
dc.description.orcidhttps://orcid.org/0000-0003-3462-0876
dc.description.orcidhttps://orcid.org/0000-0003-3937-8660
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=56395390800
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=8214890500
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=8693465100
dc.identifier.doihttps://doi.org/10.1016/j.ememar.2017.11.006
dc.identifier.eissn1873-6173
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.issn1566-0141
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.identifier.urihttp://hdl.handle.net/10726/5097
dc.language.isoeng
dc.publisherElsevier BV
dc.relation.citationendpage174
dc.relation.citationstartpage162
dc.relation.citationvolume34
dc.relation.ispartofjournalEmerging Markets Review
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.rights.coarhttp://vocabularies.coar-repositories.org/access_rights/c_16ec/
dc.rights.localAcceso Restringido
dc.subjectSovereign bonds
dc.subjectEmerging markets
dc.subjectFinancial contagion
dc.subjectFinancial crisis
dc.titleImmunity and infection : emerging and developed market sovereign spreads over the global financial crisiseng
dc.typearticle
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.versioninfo:eu-repo/semantics/acceptedVersion

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