Spatial spillovers in emerging market spreads

Salvatore Dell’Erba (), Emanuele Baldacci and Tigran Poghosyan

Empirical Economics, 2013, vol. 45, issue 2, 735-756

Abstract: We use novel spatial econometrics techniques to explore spillovers in the sovereign bond market for 24 emerging economies during 1995–2010. The article extends the previous literature focusing on spillover effects from advanced to emerging economies by analyzing transmission of shocks across emerging markets. After controlling for the impact of global factors, we find strong evidence of spillovers from both sovereign spreads and macroeconomic fundamentals in neighboring emerging economies. In addition to the geographical proximity, the channels of spatial transmission include trade and financial linkages. The results of the article highlight the importance of accounting not only for spillovers from advanced economies to emerging markets but also across emerging markets when analyzing sovereign spreads. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Sovereign spreads; Emerging market; Spillovers; Spatiale conometrics; C23; F30; F32 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00181-012-0644-7 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Spatial Spillovers in Emerging Market Spreads (2011)
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: https://EconPapers.repec.org/RePEc:spr:empeco:v:45:y:2013:i:2:p:735-756

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-012-0644-7

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().