Spatial Spillovers in Emerging Market Spreads

We use novel spatial econometrics techniques to explore spillovers in the sovereign bond market for 24 emerging economies during 1995-2010. The paper extends the previous literature focusing on spillover effects from advanced to emerging economies by analyzing transmission of shocks across emerging...

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Bibliographic Details
Main Author: Dell'Erba, Salvatore
Other Authors: Baldacci, Emanuele, Poghosyan, Tigran
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2011
Series:IMF Working Papers
Subjects:
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
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245 0 0 |a Spatial Spillovers in Emerging Market Spreads  |c Salvatore Dell'Erba, Emanuele Baldacci, Tigran Poghosyan 
260 |a Washington, D.C.  |b International Monetary Fund  |c 2011 
300 |a 28 pages 
651 4 |a United States 
653 |a International finance 
653 |a Business cycles 
653 |a Externalities 
653 |a Econometric Modeling: General 
653 |a Inflation 
653 |a Econometric analysis 
653 |a Short-term Capital Movements 
653 |a Financial sector policy and analysis 
653 |a Spatial models 
653 |a Deflation 
653 |a Current Account Adjustment 
653 |a Exports and Imports 
653 |a International economics 
653 |a International Lending and Debt Problems 
653 |a Debts, External 
653 |a External debt 
653 |a Spillovers 
653 |a Price Level 
653 |a International Finance: General 
653 |a Econometric models 
653 |a Economic growth 
653 |a Prices 
653 |a Macroeconomics 
653 |a Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) 
653 |a Econometrics 
653 |a 'Panel Data Models 
653 |a Econometrics & economic statistics 
653 |a Spatio-temporal Models' 
700 1 |a Baldacci, Emanuele 
700 1 |a Poghosyan, Tigran 
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520 |a We use novel spatial econometrics techniques to explore spillovers in the sovereign bond market for 24 emerging economies during 1995-2010. The paper extends the previous literature focusing on spillover effects from advanced to emerging economies by analyzing transmission of shocks across emerging markets. After controlling for the impact of global factors, we find strong evidence of spillovers from both sovereign spreads and macroeconomic fundamentals in neighboring emerging economies. In addition to the geographical proximity, the channels of spatial transmission include trade and financial linkages. The results of the paper highlight the importance of accounting not only for spillovers from advanced economies to emerging markets, but also across emerging markets when analyzing sovereign spreads