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Spatial Spillovers in Emerging Market Spreads
Mr.Emanuele Baldacci
Mr.Salvatore Dell'Erba
Mr.Tigran Poghosyan
出版
International Monetary Fund
, 2011-09-01
主題
Business & Economics / Economics / Macroeconomics
Business & Economics / Econometrics
Business & Economics / Exports & Imports
ISBN
1463904231
9781463904234
URL
http://books.google.com.hk/books?id=FpgYEAAAQBAJ&hl=&source=gbs_api
EBook
SAMPLE
註釋
We use novel spatial econometrics techniques to explore spillovers in the sovereign bond market for 24 emerging economies during 1995-2010. The paper 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 paper highlight the importance of accounting not only for spillovers from advanced economies to emerging markets, but also across emerging markets when analyzing sovereign spreads.