Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/6632
Title: Emerging market sovereign spreads, global financial conditions and US macroeconomic news
Authors: Özatay, Fatih
Özmen, Erdal
Şahinbeyoğlu, Gülbin
Keywords: Bond spreads
Emerging markets
Macroeconomic news
Issue Date: 2009
Publisher: Elsevier
Abstract: We investigate the impact of global financial conditions. U.S. macroeconomic news and domestic fundamentals on the evolution of EMBI spreads for a panel of 18 emerging market (EM) countries using daily data. To this end, we consider not only the conventional panel cointegration procedures but also the recent common correlated effects method to tackle cross-section dependence that may stem from common global shocks such as contagion. The results suggest that the long-run evolution of EMBI spreads depends on global financial conditions, crises contagion and domestic fundamentals proxied by sovereign ratings. The results from panel equilibrium correction models suggest that EMBI spreads respond substantially also to U.S. macroeconomic news and changes in the Federal Reserve's target interest rates. The magnitude and the sign of the effect of the U.S. news, however, crucially depend on the state of the U.S. economy, such as the presence of inflation dominance. (C) 2008 Elsevier B.V. All rights reserved.
URI: https://doi.org/10.1016/j.econmod.2008.10.008
https://hdl.handle.net/20.500.11851/6632
ISSN: 0264-9993
1873-6122
Appears in Collections:İktisat Bölümü / Department of Economics
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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