TY  - BOOK
AU  - Dell'Erba,Salvatore
AU  - Baldacci,Emanuele
AU  - Dell'Erba,Salvatore
AU  - Poghosyan,Tigran
TI  - Spatial Spillovers in Emerging Market Spreads
T2  - IMF Working Papers; Working Paper
SN  - 1463904231 :
SN  - 1018-5941
PY  - 2011///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Bond
KW  - imf
KW  - Currency Crises
KW  - Emerging Market
KW  - External Debt
KW  - International Finance: General
KW  - Sovereign Bond
KW  - Bulgaria
KW  - China, People's Republic of
KW  - Ecuador
KW  - Peru
N2  - 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
UR  - http://elibrary.imf.org/view/IMF001/12206-9781463904234/12206-9781463904234/12206-9781463904234.xml
UR  - http://www.imfbookstore.org/IMFORG/9781463904234
ER  -