Economics at your fingertips  

Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis

Edgardo Cayon, Susan Thorp () and Eliza Wu ()

Emerging Markets Review, 2018, vol. 34, issue C, 162-174

Abstract: 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 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.

Keywords: Sovereign bonds; Emerging markets; Financial contagion; Financial crisis (search for similar items in EconPapers)
JEL-codes: F3 F34 G1 G15 G12 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
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:

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-03-07
Handle: RePEc:eee:ememar:v:34:y:2018:i:c:p:162-174