Spatial Spillovers In Emerging Market Spreads
Download Spatial Spillovers In Emerging Market Spreads full books in PDF, epub, and Kindle. Read online free Spatial Spillovers In Emerging Market Spreads ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
| Author | : Mr.Emanuele Baldacci |
| Publisher | : International Monetary Fund |
| Total Pages | : 30 |
| Release | : 2011-09-01 |
| Genre | : Business & Economics |
| ISBN | : 1463904231 |
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.
| Author | : Mr.Ashvin Ahuja |
| Publisher | : International Monetary Fund |
| Total Pages | : 23 |
| Release | : 2012-11-06 |
| Genre | : Business & Economics |
| ISBN | : 1475515057 |
Over the past decade, China’s growth model has become more reliant on investment and its footprint in global imports has widened substantially. Several economies within China’s supply chain are increasingly exposed to its investment-led growth and face growing risks from a deceleration in investment in China. This note quantifies potential global spillovers from an investment slowdown in China. It finds that a one percentage point slowdown in investment in China is associated with a reduction of global growth of just under one-tenth of a percentage point. The impact is about five times larger than in 2002. Regional supply chain economies and commodity exporters with relatively less diversified economies are most vulnerable to an investment slowdown in China. The spillover effects also register strongly across a range of macroeconomic, trade, and financial variables among G20 trading partners.
| Author | : Andrea Presbitero |
| Publisher | : International Monetary Fund |
| Total Pages | : 27 |
| Release | : 2015-12-24 |
| Genre | : Business & Economics |
| ISBN | : 1513581724 |
What determines the ability of low-income developing countries to issue bonds in international capital and what explains the spreads on these bonds? This paper examines these questions using a dataset that includes emerging markets and developing economies (EMDEs) that issued sovereign bonds at least once during the period 1995-2013 as well as those that did not. We find that an EMDE is more likely to issue a bond when, in comparison with non-issuing peers, it is larger in economic size, has higher per capita GDP, and has stronger macroeconomic fundamentals and government. Spreads on sovereign bonds are lower for countries with strong external and fiscal positions, as well as robust economic growth and government effectiveness. With regard to global factors, the results show that sovereign bond spreads are reduced in periods of lower market volatility.
| Author | : Graciela Laura Kaminsky |
| Publisher | : World Bank Publications |
| Total Pages | : 35 |
| Release | : 2001 |
| Genre | : Contagio financiero |
| ISBN | : |
Changes in sovereign ratings affect country risk and stock returns. And these changes are transmitted across countries, with neighbor-country effects being more significant.
| Author | : International Monetary Fund. European Dept. |
| Publisher | : International Monetary Fund |
| Total Pages | : 133 |
| Release | : 2014-06-11 |
| Genre | : Business & Economics |
| ISBN | : 1498351026 |
This paper discusses Ukraine’s 2013 Article IV Consultation and First Post-Program Monitoring. The Ukrainian economy has been in recession since mid-2012, and the outlook remains challenging. In January–September 2013, GDP contracted by 11⁄4 percent year-over-year, reflecting lower demand for Ukrainian exports and falling investments. Consumer prices stayed flat, held down by decreasing food prices and tight monetary policy. The fiscal stance loosened in 2012–2013, contributing to the buildup of vulnerabilities. Ukraine remains current on all its payments to the IMF, and the authorities have reaffirmed their commitment to repay all outstanding IMF credit.
| Author | : Nazim Belhocine |
| Publisher | : International Monetary Fund |
| Total Pages | : 31 |
| Release | : 2013-05-01 |
| Genre | : Business & Economics |
| ISBN | : 1484382765 |
How do financial markets respond to concerns over debt sustainability and the level of public debt in emerging markets? We introduce a measure of debt sustainability – the difference between the debt stabilizing primary balance and the primary balance–in an otherwise standard spread regression model applied to a panel of 26 emerging market economies. We find that debt sustainability is an important determinant of spreads. In addition, using a panel smooth transition regression model, we find that the sensitivity of spreads to debt sustainability doubles as public debt increases above 45 percent of GDP. These results suggest that market interest rates react more to debt sustainability concerns in a country with a high level of debt compared to a country with a low level of debt.
| Author | : William Gbohoui |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 2023-06-23 |
| Genre | : Business & Economics |
| ISBN | : |
Policymakers from the sub-Saharan Africa (SSA) region often flag a mispricing of their sovereign debt presumably originating from a perception risk by international investors that lead to "unjustifiably" high borrowing costs. Against this background, this paper explores the extent to which a potential SSA premium exists in the financial markets following a broader two-fold approach. Firstly, using a sample of 1592 international primary sovereign fixed coupon bonds issued between 2003-2021 from Bond Radar by 89 countries, we find that SSA countries pay significantly higher coupon at issuance compared to their peers from other regions. Secondly, we assess whether there is any bias against SSA countries in the secondary market that would result in higher refinancing cost. Based on an unbalanced panel of quarterly data covering 107 countries over 1990 – 2022, we find that SSA countries pay higher refinancing costs in the secondary market. The paper further explores whether there are other factors overlooked by the literature that matter for the risk pricing by international investors. In that respect, we explore the sensitivity of spreads to some structural dimensions where SSA countries face acute challenges―the transparency of budget process, the importance of the informal sector, the level of financial development, and the quality of public institutions. The results show that the excess premium estimated for SSA countries vanishes when these structural factors are accounted for in the regressions.
| Author | : Cira Perna |
| Publisher | : Springer |
| Total Pages | : 335 |
| Release | : 2018-04-03 |
| Genre | : Mathematics |
| ISBN | : 3319739069 |
This book includes a wide selection of the papers presented at the 48th Scientific Meeting of the Italian Statistical Society (SIS2016), held in Salerno on 8-10 June 2016. Covering a wide variety of topics ranging from modern data sources and survey design issues to measuring sustainable development, it provides a comprehensive overview of the current Italian scientific research in the fields of open data and big data in public administration and official statistics, survey sampling, ordinal and symbolic data, statistical models and methods for network data, time series forecasting, spatial analysis, environmental statistics, economic and financial data analysis, statistics in the education system, and sustainable development. Intended for researchers interested in theoretical and empirical issues, this volume provides interesting starting points for further research.
| Author | : Pasquale Commendatore |
| Publisher | : Springer |
| Total Pages | : 381 |
| Release | : 2015-02-17 |
| Genre | : Business & Economics |
| ISBN | : 3319128051 |
The uneven geographical distribution of economic activities is a huge challenge worldwide and also for the European Union. In Krugman’s New Economic Geography economic systems have a simple spatial structure. This book shows that more sophisticated models should visualise the EU as an evolving trade network with a specific topology and different aggregation levels. At the highest level, economic geography models give a bird eye’s view of spatial dynamics. At a medium level, institutions shape the economy and the structure of (financial and labour) markets. At the lowest level, individual decisions interact with the economic, social and institutional environment; the focus is on firms’ decision on location and innovation. Such multilevel models exhibit complex dynamic patterns – path dependence, cumulative causation, hysteresis – on a network structure; and specific analytic tools are necessary for studying strategic interaction, heterogeneity and nonlinearities.
| Author | : Bertrand Candelon |
| Publisher | : International Monetary Fund |
| Total Pages | : 30 |
| Release | : 2011-03-01 |
| Genre | : Business & Economics |
| ISBN | : 1455225061 |
This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.
