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Spillovers to Emerging Markets from US Economic News and Monetary Policy
Engler, Philipp; Piazza, Roberto; Sher, Galen - 2023
When the U.S. economy sneezes, do emerging markets catch a cold? We show that economic news, and not just monetary policy, in the United States affects financial conditions in emerging markets. News about U.S. employment has the strongest effects, followed by news about economic activity and...
Persistent link: https://www.econbiz.de/10014350292
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …
Persistent link: https://www.econbiz.de/10003808130
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …
Persistent link: https://www.econbiz.de/10003823970
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … tend to be unchanged or lower during turbulences. -- Volatility spillovers ; Contagion ; Stock markets ; Emerging markets …
Persistent link: https://www.econbiz.de/10003963822
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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Beirne, John - 2009
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission …
Persistent link: https://www.econbiz.de/10013154956
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Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis
Beirne, John - 2009
This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets … America, and the Middle East. The models capture a range of possible transmission channels: spillovers in mean returns … suggest that spillovers from regional and global markets are present in the vast majority of EMEs. However, the nature of …
Persistent link: https://www.econbiz.de/10013155090
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The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes
Ismailescu, Iuliana - 2019
This paper examines the impact of sovereign credit rating change announcements on the CDS spreads of the event countries, and their spillover effects on other emerging economies' CDS premiums. In contrast to previous work, we find that positive events have a more consistent impact on sovereign...
Persistent link: https://www.econbiz.de/10012906174
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The Anatomy of Sovereign Credit Contagion
Kalotychou, Elena - 2015
We analyze the channels for the cross-border propagation of sovereign credit risk in the international sovereign debt market. We study sovereign credit contagion through the immediate effects of credit events as defined by CDS spread jumps on the credit spreads of other regional sovereigns and...
Persistent link: https://www.econbiz.de/10013019398
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Stock Market Interdependence, Contagion, and the U.S. Financial Crisis : The Case of Emerging and Frontier Markets
Samarakoon, Lalith P. - 2015
This paper examines transmission of shocks between the U.S. and foreign markets to delineate interdependence from contagion of the U.S. financial crisis by constructing shock models for partially-overlapping and non-overlapping markets. There exists important bi-directional, yet asymmetric,...
Persistent link: https://www.econbiz.de/10013037982
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Time-varying co-movements and contagion effects in asian sovereign CDS markets
Cho, Daehyoung; Choi, Kyongwook - In: Journal of East Asian economic integration 19 (2015) 4, pp. 357-379
countries are affected more by cross-market spillovers than by their own-market spillovers. Furthermore, a rolling …
Persistent link: https://www.econbiz.de/10011572880