Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach

Autor: Jean-Yves Gnabo, Cyrille Dossougoin, Nicolas Debarsy, Cem Ertur
Přispěvatelé: Centre de Recherches en Economie Régionale et Politique Economique (CERPE), Facultés Universitaires Notre Dame de la Paix (FUNDP), Lille économie management - UMR 9221 (LEM), Université d'Artois (UA)-Université catholique de Lille (UCL)-Université de Lille-Centre National de la Recherche Scientifique (CNRS), Université Catholique de Louvain = Catholic University of Louvain (UCL), Laboratoire d'Économie d'Orleans (LEO), Centre National de la Recherche Scientifique (CNRS)-Université de Tours-Université d'Orléans (UO), Center for Research in Finance and Management [UNamur] (CeReFiM), Université de Namur [Namur] (UNamur), EconomiX, Université Paris Nanterre (UPN)-Centre National de la Recherche Scientifique (CNRS), Laboratoire d'Économie d'Orleans [UMR7322] (LEO), Université d'Orléans (UO)-Université de Tours (UT)-Centre National de la Recherche Scientifique (CNRS)
Jazyk: angličtina
Rok vydání: 2018
Předmět:
Economics and Econometrics
Transmission channel
JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C51 - Model Construction and Estimation
050208 finance
Control and Optimization
Sovereign risk
JEL: C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C33 - Panel Data Models • Spatio-temporal Models
Applied Mathematics
Bond
05 social sciences
Spillover analysis
International economics
[SHS.ECO]Humanities and Social Sciences/Economics and Finance
Spatial dynamic panel data
Transmission channels
Sovereignty
JEL: F - International Economics/F.F3 - International Finance/F.F3.F34 - International Lending and Debt Problems
0502 economics and business
Economics
Spatial econometrics
Economic geography
050207 economics
Emerging markets
JEL: F - International Economics/F.F4 - Macroeconomic Aspects of International Trade and Finance/F.F4.F42 - International Policy Coordination and Transmission
Credit risk
Zdroj: Journal of Economic Dynamics and Control
Journal of Economic Dynamics and Control, Elsevier, 2018, 87, pp.21-45. ⟨10.1016/j.jedc.2017.11.005⟩
Journal of Economic Dynamics and Control, 2018, 87, pp.21-45. ⟨10.1016/j.jedc.2017.11.005⟩
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2017.11.005⟩
Popis: International audience; We contribute to the literature on international risk spillovers by developing a unified framework based on spatial econometrics that enables us to address the following questions: (i) what are the effective transmission channels – real linkages and informational channels – of international risk spillovers across countries and/or regions, (ii) what are the most dominant ones, and (iii) which countries are most at risk for their environment and which are suffering the most from international exposure. Our analysis, based on 41 advanced and emerging economies from 2008Q1 to 2012Q4, shows that among the considered channels for explaining international spillovers of sovereign bond spreads, the informational channel is of utmost importance. Our results challenge previous findings from the literature in which the empirical strategy did not accommodate altogether important features of country spillovers, such as the co-existence of multiple transmission channels in the presence of contemporaneous and time-lagged interactions. Ultimately, our stress-testing analysis reveals important insights on countries prone either to international spillovers, international exposure or both at the regional and the worldwide level.
Databáze: OpenAIRE
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