nep-fmk New Economics Papers
on Financial Markets
Issue of 2011‒07‒21
one paper chosen by
Kwang Soo Cheong
Johns Hopkins University

  1. Sovereign Spreads and Contagion Risks in Asia By D. Filiz Unsal; Carlos Caceres

  1. 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

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