Please use this identifier to cite or link to this item:
Title: The sovereign spread in Asian emerging economies: The significance of external versus internal factors
Authors: Banerji, S
Ventouri, A
Wang, Z
Keywords: Bond spread;SVAR;Sovereign risk;Emerging market;Risk aversion
Issue Date: 2012
Publisher: Brunel University
Citation: Economics and Finance Working Paper, Brunel University, 12-11, Sep 2012
Abstract: This paper investigates the dynamic relations between external factors, domestic macroeconomic factors and sovereign spreads in Asian emerging countries. We conduct our analysis using a methodology that combines theoretical and empirical elements, using a Structural Vector Autoregression (SVAR) model. In particular, we investigate how the spread of sovereign debt is influenced over time by both external as well as domestic factors. Moreover, we generate variance decompositions and impulse response functions. Our results show that variations in sovereign spreads are mainly driven by external shocks, with the term structure of U.S. interest rate and the global risk aversion having the most important role. The findings also indicate that shocks from the U.S. have a direct effect on sovereign spread and an indirect effect via domestic macroeconomic fundamentals. Finally, the evidence produced validates the presence of some response patterns of sovereign spread to the external shocks.
metadata.dc.relation.isreplacedby: 2438/9935
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
12-11.pdf506.73 kBAdobe PDFView/Open

Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.