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

Nicolas Debarsy, Cyrille Dossougoin, Cem Ertur, Jean Yves Gnabo

Résultats de recherche: Contribution à un journal/une revueArticle

Résumé

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.

langue originaleAnglais
Pages (de - à)21-45
Nombre de pages25
journalJournal of Economic Dynamics and Control
Volume87
Les DOIs
étatPublié - 1 févr. 2018

Empreinte digitale

Econometrics
Coexistence
Linkage
Testing
Interaction
Spillover
Spatial econometrics
Transmission channel
Sovereign risk
International spillovers

Citer ceci

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Measuring sovereign risk spillovers and assessing the role of transmission channels : A spatial econometrics approach. / Debarsy, Nicolas; Dossougoin, Cyrille; Ertur, Cem; Gnabo, Jean Yves.

Dans: Journal of Economic Dynamics and Control, Vol 87, 01.02.2018, p. 21-45.

Résultats de recherche: Contribution à un journal/une revueArticle

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AU - Ertur, Cem

AU - Gnabo, Jean Yves

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