Credit Cycle Dependent Spread Determinants in Emerging Sovereign Debt Markets

Riedel, Christoph; Thuraisamy, Kannan; Wagner, Niklas

doi:10.2139/ssrn.2235144

Cited by 4 publications

(2 citation statements)

References 40 publications

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“…The works by Bunda et al (2009), Özatay et al (2009), Comelli (2012, Piljak (2013), Riedel et al (2013), Cifarelli and Paladino (2014), Csontó (2014), and Zinna (2014) are some examples of the broad literature that analyses sovereign bond spreads on emerging economics. Some of the variables included in these authors' analysis are the relative role of global financial conditions and domestic fundamentals (Bunda et al, 2009;Banerji et al, 2014;Cifarelli and Paladino, 2014;Özatay et al, 2009;Zinna 2014); the time-varying nature of spreads determinants in crises periods compared to non-crisis times (Comelli, 2012;Csontó, 2014); or the relevance of variables reflecting uncertainty, confidence conditions and perceptions for the upcoming economic activity (Piljak, 2013;Riedel et al, 2013) in explaining sovereign spreads behaviour.…”

Section: Econometric Methodologymentioning

confidence: 99%

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Rodríguez

Gómez‐Puig

Sosvilla‐Rivero

2016

Journal of International Financial Markets, Institutions and Mo

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a b s t r a c tWe measure the connectedness in EMU sovereign market volatility between April 1999 and January 2014, monitoring stress transmission and identifing episodes of intensive spillovers from one country to the others. We first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period using a framework recently proposed by Diebold and Yilmaz (2014). Second, we use a dynamic analysis to evaluate the net directional connectedness for each country and apply panel model techniques to investigate its determinants. Finally, we examine the time-varying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.

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Section: Econometric Methodologymentioning

confidence: 99%

Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

Rodríguez

Gómez‐Puig

Sosvilla‐Rivero

2016

Journal of International Financial Markets, Institutions and Mo

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“…Indeed, volatilities in oil prices spill over to stock markets, as empirical studies show for the S&P 500 Index and the S&P 500 Energy Select Index (Aloui & Jammazi, 2009;Choi & Hammoudeh, 2010;6 For empirical studies in advanced countries, see Dufrénot et al (2014), Gourieroux et al (2013), andBlommestein et al (2016). 7 For empirical studies, see Reyes-Heroles & Tenorio (2019), Riedel et al (2013), andMa et al (2018).…”

Section: Fiscal Policy Under Different Business Cycle Regimesmentioning

confidence: 99%

Fiscal Policies for a Low-Carbon Economy

Semmler¹,

Braga²,

Lichtenberger³

et al. 2021

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This work is a product of the staff of The World Bank with external contributions. The findings, interpretations, and conclusions expressed in this work do not necessarily reflect the views of The World Bank, its Board of Executive Directors, or the governments they represent.The World Bank does not guarantee the accuracy, completeness, or currency of the data included in this work and does not assume responsibility for any errors, omissions, or discrepancies in the information, or liability with respect to the use of or failure to use the information, methods, processes, or conclusions set forth. The boundaries, colors, denominations, and other information shown on any map in this work do not imply any judgment on the part of The World Bank concerning the legal status of any territory or the endorsement or acceptance of such boundaries.Nothing herein shall constitute or be construed or considered to be a limitation upon or waiver of the privileges and immunities of The World Bank, all of which are specifically reserved.

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