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Testing contagion with propensity matching estimators : a three country empirical example

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dc.contributor.authorCayón Fallon, Edgardospa
dc.contributor.authorSarmiento Sabogal, Julio Alejandrospa
dc.contributor.orcidCayón Fallon, Edgardo [0000-0002-4113-5521]
dc.contributor.orcidSarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
dc.contributor.scopusCayón Fallon, Edgardo [56395390800]
dc.contributor.scopusSarmiento Sabogal, Julio Alejandro [57196465468]
dc.date.accessioned2023-06-21T22:23:11Z
dc.date.available2023-06-21T22:23:11Z
dc.date.issued2014
dc.description.abstractenglishWe 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.description.orcidhttps://orcid.org/0000-0002-4113-5521
dc.description.orcidhttps://orcid.org/0000-0001-5986-4813
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=56395390800
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57196465468
dc.identifier.eissn1450-216X
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.issn1450-202X
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.identifier.urihttp://hdl.handle.net/10726/5126
dc.identifier.urlhttps://ssrn.com/abstract=2541504
dc.language.isoeng
dc.publisherEuroJournals
dc.relation.citationendpage113
dc.relation.citationissue1
dc.relation.citationstartpage107
dc.relation.citationvolume122
dc.relation.ispartofjournalEuropean Journal of Scientific Research
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.coarhttp://purl.org/coar/access_right/c_abf2
dc.rights.localAbierto (Texto Completo)
dc.titleTesting contagion with propensity matching estimators : a three country empirical exampleeng
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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