2013
DOI: 10.2753/ree1540-496x490105
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Emerging Bond Market Volatility and Country Spreads

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Cited by 13 publications
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“…Nevertheless, a distinct reversal of this relationship over an extended temporal horizon becomes apparent. A comparable study by Won et al (2013) examined the persistence of increases in country credit spreads within emerging bond markets. The findings from T-GARCH regressions indicate that, during financial crisis periods, credit spreads in emerging countries may experience sustained growth due to the interplay between spread fluctuations and volatilities, thereby contributing to heightened turbulence in emerging bond markets.…”
Section: Introductionmentioning
confidence: 99%
“…Nevertheless, a distinct reversal of this relationship over an extended temporal horizon becomes apparent. A comparable study by Won et al (2013) examined the persistence of increases in country credit spreads within emerging bond markets. The findings from T-GARCH regressions indicate that, during financial crisis periods, credit spreads in emerging countries may experience sustained growth due to the interplay between spread fluctuations and volatilities, thereby contributing to heightened turbulence in emerging bond markets.…”
Section: Introductionmentioning
confidence: 99%
“…Not surprisingly, if used in empirical studies, volatility indices usually emerge as the single most important explanatory variable in sovereign spread models, thus precluding us from establishing whether economic fundamentals influence economic uncertainty represented by sovereign spreads variance. This problem is also a natural consequence of the method of choice in empirical sovereign spreads studies; all the reviewed studies except Seungyeon, Young and Byoung (2013) use panel data models. As panel data models are designed to explain the mean spread value and not its variance, the determinants of sovereign spreads variance in panel data studies are almost completely ignored.…”
Section: Introductionmentioning
confidence: 99%