English, Article, Journal or magazine article edition: Contagion and portfolio shift in emerging countries' sovereign bonds Antonio Díez de los Ríos; Alicia García Herrero

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Bookmark: http://trove.nla.gov.au/version/158105
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Contagion and portfolio shift in emerging countries' sovereign bonds
Author
  • Antonio Díez de los Ríos
  • Alicia García Herrero
Physical Description
  • preprint
Notes
  • The paper tests whether there were events of contagion, and portfolio shift, in the sovereign bond markets of eleven emerging countries' between January 1995 and November 2001. From existing definitions, we narrow down the concept of contagion by focusing on pricing errors, after general market movements haven been taken into account with a three factor asset pricing model. We measure contagion (and portfolio shift) in terms of a causal positive (negative) dynamic co movement between sovereign bond pricing errors. Downgrades of sovereign ratings are used as proxies for a shock. We find empirical support for contagion and portfolio shift for a number of countries on the basis of our definition.
  • Financial linkages, financial crisis, Granger causality, international asset pricing
  • RePEc:bde:wpaper:0317
Language
  • English
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