An empirical analysis of limited recourse project

Stefanie Kleimeier () and William L. Megginson
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William L. Megginson: METEOR

No 66, Research Memoranda from Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization

Abstract: Our study extends on conventional measures of contagion by directly investigating changes in the existence and the directions of causality. In particular, we apply a Granger-causality methodology on sovereign bond spreads as a measure of perceived country risk. For the Asian crisis, we find evidence for new and changed causality patterns on a regional level. With the arrival of the Russian crisis, causality patterns were changing not only on a regional but also on a global level.

Keywords: Economics (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn and nep-rmg
Date: 2002
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:umamet:2002066

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