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Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises, Brenda Gonzalez-Hermosillo, Vance Martin, Mardi Dungey, Renee Fry

Abstract
The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also studied individually. A historical decomposition of bond spreads is used to identify the relative contributions of risk during 1998-99. The empirical results show that the Russian/LTCM crises were characterized by increases in global credit risk, while the relative size of global risk factors was mixed for the Brazilian crisis, with no component dominating. Country risk is found to be important for all countries, while there is little evidence of contagion risk
Table Of Contents
""Contents""; ""I. INTRODUCTION""; ""II. AN EMPIRICAL MODEL OF RISK PREMIA""; ""III. EMPIRICAL RESULTS""; ""IV. CONCLUSIONS AND SUGGESTIONS FOR FUTURE RESEARCH""; ""APPENDIX I Data Definitions and Sources""; ""APPENDIX II Descriptive Statistics""; ""APPENDIX III Parameter Estimates""; ""References""
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (44 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462393039

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