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Sovereign Spreads and Contagion Risks in Asia, Filiz Unsal, Carlos Caceres

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Abstract
This paper explores how much of the movements in the sovereign spreads of Asian economies over the course of the global financial crisis has reflected shifts in (i) global risk aversion; (ii) country-specific risks, directly from worsening fundamentals, and indirectly from spillovers originating in other sovereigns and the uncertainty surrounding exchange rates. Earlier in the crisis, the increase in market-implied contagion led to higher Asian sovereign bond yield spreads over swaps. But, after the crisis, Asia’s sovereign spreads normalized, despite the debt crisis in the euro area, reflecting a fall in both exchange rate and spillover risks
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Data and Construction of the Main Variables; 1. Asian Countries' Sovereign Swap Spreads; A. Global Risk Aversion; 2. Index of Global Risk Aversion (IGRA); B. Contagion and the Spillover Coefficient (SC); C. Exchange Rate Risk; 3. Exchange Rate Risk Index (ERRI); 1. The Exchange Rate Risk Index (ERRI); III. Estimation Methodology and Main Results; A. The Estimation Model; B. Estimation Results; IV. Discussion; 4. Contributions to Distress Dependence: Systemic Outbreak vs. Sovereign Risk Phase; V. Conclusions; Annex I
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (43 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781455271450

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