Empirical research on contagion between international stock markets generally focuses on index returns converted into US dollars. This paper argues that it would be more appropriate to use returns denominated in countries' local currencies, as only these returns accurately reflect price...

Coined in 2009, the CIVETS refers to Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa as a new group of frontier emerging markets with young and growing populations and dynamic economies. We provide a first look into the return and volatility spillovers between the CIVETS countries...

This paper investigates whether foreign financial shocks can destabilize the cost of equity in emerging markets. After a theoretical discussion, we develop annual metrics for the international cost of equity, financial integration, spillovers and shift-contagion vulnerability in a sample of 535...

This paper quantifies financial market integration in the European Union, using a large array of credit and bond market indicators, stock market indicators, as well as indicators based on household and firm decisions. It focuses on comparing the evolution of the European Union before the Eastern...

While empirical sovereign credit risk models have portrayed default as driven mainly by economic and financial risk factors, this investigation addresses the relative importance of political risk that the empirical literature has often overlooked. A Markov-switching vector autoregressive model...

We estimate sovereign bond spreads of 28 emerging economies over the period January 1998–December 2011 and test the ability of the model in generating accurate in-sample predictions for bond spreads. The impact and significance of explanatory variables on spreads vary across regions and...

Recent literature argues that stock market liberalisation has positive long- and short-run effects on macroeconomic growth and private investment, respectively. However, given a sample of up to 64 countries from 1981 through 1998, positive results for long-run growth are largely dependent on the...

We examine the dynamics of emerging market (EM) local currency government bond yields for the last decade and a half as well as for three different phases (January 2000–December 2007, January 2008–April 2013, and since May 2013). We show that domestic factors have anchored EM local currency...