Emerging Debt Markets: What Do Correlations and Spreads Tell UsReport as inadecuate




Emerging Debt Markets: What Do Correlations and Spreads Tell Us - Download this document for free, or read online. Document in PDF available to download.

* Corresponding author 1 LEO - Laboratoire d-économie d-Orleans 2 IMF - International Monetary Fund

Abstract : This paper proposes a conceptual framework to identify the potential sources of contagion in emerging bond markets and the mechanisms through which shocks originating in a particular emerging or mature market are likely to be transmitted across countries and markets. We then apply this framework to the emerging countries initially included in the EMBI Global Index over the period 1997-2005. We put into light that emerging markets became less and less intertwined over the recent period, and that, at present, the risk of contagion may come mainly from events taking place into mature markets. Finally, we derive policy recommendations in order to reduce emerging countries debt variability thus making them less vulnerable to a shock that takes place in mature markets. Sound macroeconomic policies, and in particular, prudent fiscal ones, could enhance government discipline and limit contagion effects in a wake of a global shock or a shock affecting another emerging country.

Keywords : Emerging bond markets International financial crises Excess comovement Contagion Public debt





Author: Irina Bunda - A. Javier Hamann - Subir Lall -

Source: https://hal.archives-ouvertes.fr/



DOWNLOAD PDF




Related documents