| By: |
D. Filiz Unsal;
Carlos Caceres |
| 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. |
| Keywords: |
Asia , Bond markets , Bonds , Exchange rates , Financial crisis , Financial risk , Global Financial Crisis 2008-2009 , Sovereign debt , |
| Date: |
2011–06–08 |
| URL: |
http://d.repec.org/n?u=RePEc:imf:imfwpa:11/134&r=fmk |