Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis |
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| Institution: | 1. Colegio de Estudios Superiores de Administracion, Calle 35 No. 6-16, Bogota, Colombia;2. University of Sydney Business School, The University of Sydney, NSW 2006, Australia;1. Leeds Business School, Leeds Beckett University, City Campus, Leeds LS1 3HE, United Kingdom;2. Leeds University Business School, Maurice Keyworth Building, The University of Leeds, Leeds LS2 9JT, United Kingdom;3. The York Management School, University of York, Freboys Lane, Heslington, York YO10 5GD, United Kingdom;1. School of Management, Universidad de los Andes, Bogotá, Colombia;2. CESA School of Business, Bogotá, Colombia;3. School of Economics and Finance, Universidad EAFIT, Medellin, Colombia |
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| Abstract: | We compare sovereign bond spreads during the international financial crisis across groups drawn from 43 countries, including 20 emerging economies. We extend traditional factor analyses and utilize propensity score matching to select a non-crisis sample for comparison with the crisis sample that is more robust to exogenous crisis dating. We find minimal changes over the crisis period in the average spreads of local-currency-denominated emerging market bonds. In contrast, the spreads of peripheral Eurozone sovereign bonds increased by large amounts and were subject to sovereign risk contagion. |
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