Add to ORKGMovements in the bond risk premia of nine emerging markets during the Russian, LTCM and Brazilian financial crises, are explained in terms of the risk preferences of investors. Three broad characteristics of risk are considered: Global risk factors comprising credit, liquidity and volatility risks; country risk arising from idiosyncratic shocks of countries; and contagion risk caused by additional cross-border linkages arising during financial crises. The empirical results show that all risk components are generally important in explaining the widening of spreads during the Russian and LTCM crises, whereas the Brazilian crisis is better characterized in terms of changes in global credit risk and country risk. JEL Classification: G12, G15, C...
This paper studies the importance of global common factors in the evolution of sovereign credit ris...
This paper gives an overview of the concept of systemic risk in emerging markets, focusing from the ...
The paper analyses and compares the role that the tightening in liquidity conditions, the collapse i...
Movements in the bond risk premia of nine emerging markets during the Russian, LTCM and Brazilian fi...
We employ an affine term structure model with no-arbitrage restrictions and unspanned risk factors t...
This paper shows that a large fraction of the variability of emerging market bond spreads is explain...
This paper applies a measure of country risk to determine the evolution of credit spreads on seconda...
The Russian and LTCM financial crises in 1998 originated in bond markets, but rapidly transmitted th...
We examine empirically the episode of extraordinary turbulence in global financial markets during 19...
The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets....
This paper investigates the impacts of sovereign credit ratings and global financial conditions on.t...
The Russian bond default in August 1998 and the long-term capital management (LTCM) recapitalization...
A structural vector autoregression model is developed to analyze the dynamics of bond spreads among ...
Abstract This paper applies a measure of country risk to determine the evolution of credit spreads o...
This study explores the determinants of corporate bond spreads in emerging markets economies. Using ...
This paper studies the importance of global common factors in the evolution of sovereign credit ris...
This paper gives an overview of the concept of systemic risk in emerging markets, focusing from the ...
The paper analyses and compares the role that the tightening in liquidity conditions, the collapse i...
Movements in the bond risk premia of nine emerging markets during the Russian, LTCM and Brazilian fi...
We employ an affine term structure model with no-arbitrage restrictions and unspanned risk factors t...
This paper shows that a large fraction of the variability of emerging market bond spreads is explain...
This paper applies a measure of country risk to determine the evolution of credit spreads on seconda...
The Russian and LTCM financial crises in 1998 originated in bond markets, but rapidly transmitted th...
We examine empirically the episode of extraordinary turbulence in global financial markets during 19...
The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets....
This paper investigates the impacts of sovereign credit ratings and global financial conditions on.t...
The Russian bond default in August 1998 and the long-term capital management (LTCM) recapitalization...
A structural vector autoregression model is developed to analyze the dynamics of bond spreads among ...
Abstract This paper applies a measure of country risk to determine the evolution of credit spreads o...
This study explores the determinants of corporate bond spreads in emerging markets economies. Using ...
This paper studies the importance of global common factors in the evolution of sovereign credit ris...
This paper gives an overview of the concept of systemic risk in emerging markets, focusing from the ...
The paper analyses and compares the role that the tightening in liquidity conditions, the collapse i...