EconPapers    
Economics at your fingertips  
 

Contagion and portfolio shift in emerging countries' sovereign bonds

Antonio Diez de los Rios () and Alicia García Herrero ()
Additional contact information
Alicia García Herrero: Banco de España

No 317, Banco de España Working Papers from Banco de España

Abstract: The paper tests whether there were events of contagion, and portfolio shift, in the sovereign bond markets of eleven emerging countries' between January 1995 and November 2001. From existing definitions, we narrow down the concept of contagion by focusing on pricing errors, after general market movements haven been taken into account with a three factor asset pricing model. We measure contagion (and portfolio shift) in terms of a causal positive (negative) dynamic co movement between sovereign bond pricing errors. Downgrades of sovereign ratings are used as proxies for a shock. We find empirical support for contagion and portfolio shift for a number of countries on the basis of our definition.

Keywords: Financial linkages; financial crisis; Granger causality; international asset pricing (search for similar items in EconPapers)
JEL-codes: F30 F33 G12 G15 (search for similar items in EconPapers)
Date: 2003-12
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... o/03/Fic/dt0317e.pdf First version, December 2003 (application/pdf)

Related works:
Working Paper: CONTAGION AND PORTFOLIO SHIFT IN EMERGING COUNTRIES´ SOVEREIGN BONDS (2004) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bde:wpaper:0317

Access Statistics for this paper

More papers in Banco de España Working Papers from Banco de España
Contact information at EDIRC.
Series data maintained by María Beiro. Electronic Dissemination of Information Unit. Research Department. Banco de España ().

 
Page updated 2014-09-17
Handle: RePEc:bde:wpaper:0317