European Parliament Library

Spatial Spillovers in Emerging Market Spreads, Salvatore Dell'Erba, Emanuele Baldacci, Tigran Poghosyan

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
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Sovereign Spreads in Emerging Markets (in basis points); II. Literature Review; III. Data; IV. Methodology; A. Econometric Model; B. Weighting Matrix; 1. Description of Variables and their Sources; 2. Summary Statistics; C. Model Selection; V. Results; 3. Tests of Cross Sectional Dependence; 4. Estimation Results: Fixed-Effects, Spatial Error, and Spatial Lag Models; 5. Decomposition of the Total Impact into Direct and Indirect Effects; 2. SAR: The Impact of a 1 ppt Increase in External Debt to GDP Ratio
Literary Form
non fiction
Description based upon print version of record
Physical Description
1 online resource (43 p.)
Specific Material Designation
Form Of Item

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