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Different no more: Country spreads in advanced and emerging economies

Benjamin Born, Gernot Müller, Johannes Pfeifer and Susanne Wellmann

No 129, University of Tübingen Working Papers in Business and Economics from University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics

Abstract: Interest-rate spreads fluctuate widely across time and countries. We illustrate this on the basis of about 3,100 quarterly observations for 21 advanced and 17 emerging economies since the early 1990s. Prior to the financial crisis, spread fluctuations in advanced economies are an order of magnitude smaller than in emerging economies. After 2008 their behavior has largely converged along a number of dimensions. We also provide evidence on the transmission of spread shocks and find it similar across sample periods and country groups. The importance of spread shocks as a source of output fluctuations in advanced economies has increased after 2008.

Keywords: Country spreads; Country risk; Interest-rate shocks; Financial crisis; Business cycle; Spread shocks; Average treatment effect (search for similar items in EconPapers)
JEL-codes: E32 F41 G15 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-mac
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Related works:
Working Paper: Different No More: Country Spreads in Advanced and Emerging Economies (2020) Downloads
Working Paper: Different no more: Country spreads in advanced and emerging economies (2020) Downloads
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