Title :

Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach

Author(s) :

Debarsy, Nicolas [Auteur]
Lille économie management - UMR 9221 [LEM]
Dossougoin, Cyrille [Auteur]
Université Catholique de Louvain = Catholic University of Louvain [UCL]
Ertur, Cem [Auteur]
Laboratoire d'Économie d'Orleans [UMR7322] [LEO]
Gnabo, Jean-Yves [Auteur]
EconomiX [EconomiX]
Center for Research in Finance and Management [UNamur] [CeReFiM]

Journal title :

Journal of Economic Dynamics and Control

Pages :

21-45

Publisher :

Elsevier

Publication date :

2018

ISSN :

0165-1889

English keyword(s) :

Spillover analysis
Spatial dynamic panel data
Sovereign risk
Transmission channels

HAL domain(s) :

Sciences de l'Homme et Société/Economies et finances

English abstract : [en]

We contribute to the literature on international risk spillovers by developing a unified framework based on spatial econometrics that enables us to address the following questions: (i) what are the effective transmission ...
Show more >We contribute to the literature on international risk spillovers by developing a unified framework based on spatial econometrics that enables us to address the following questions: (i) what are the effective transmission channels – real linkages and informational channels – of international risk spillovers across countries and/or regions, (ii) what are the most dominant ones, and (iii) which countries are most at risk for their environment and which are suffering the most from international exposure. Our analysis, based on 41 advanced and emerging economies from 2008Q1 to 2012Q4, shows that among the considered channels for explaining international spillovers of sovereign bond spreads, the informational channel is of utmost importance. Our results challenge previous findings from the literature in which the empirical strategy did not accommodate altogether important features of country spillovers, such as the co-existence of multiple transmission channels in the presence of contemporaneous and time-lagged interactions. Ultimately, our stress-testing analysis reveals important insights on countries prone either to international spillovers, international exposure or both at the regional and the worldwide level.Show less >

Language :

Anglais

Peer reviewed article :

Oui

Audience :

Internationale

Popular science :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL