Spatial analysis of sovereign risks: The case of emerging markets
| dc.contributor.author | Kisla, Gul Huyuguzel | |
| dc.contributor.author | Onder, A. Ozlem | |
| dc.date.accessioned | 2019-10-27T10:02:48Z | |
| dc.date.available | 2019-10-27T10:02:48Z | |
| dc.date.issued | 2018 | |
| dc.department | Ege Üniversitesi | en_US |
| dc.description.abstract | This paper examines the macroeconomic determinants of the sovereign risks for emerging markets by taking spatial linkages into consideration. We employ spatial panel models for 20 emerging markets for this purpose. Using quarterly data for the period 2004-2015, our results show that there is a strong spatial linkage between the emerging markets. The most important linkage is found to be the trade channel for the sovereign credit default swaps (CDS) spreads. Financial linkages are also important channels in transmitting the sovereign risk. Inflation rate and growth rates are found to be two important indicators of sovereign risk together with other macroeconomic variables. Our results reveal further indirect effects of macroeconomic variables for these countries. | en_US |
| dc.identifier.doi | 10.1016/j.frl.2017.12.004 | |
| dc.identifier.endpage | 55 | en_US |
| dc.identifier.issn | 1544-6123 | |
| dc.identifier.issn | 1544-6131 | |
| dc.identifier.issn | 1544-6123 | en_US |
| dc.identifier.issn | 1544-6131 | en_US |
| dc.identifier.scopusquality | Q1 | en_US |
| dc.identifier.startpage | 47 | en_US |
| dc.identifier.uri | https://doi.org/10.1016/j.frl.2017.12.004 | |
| dc.identifier.uri | https://hdl.handle.net/11454/30040 | |
| dc.identifier.volume | 26 | en_US |
| dc.identifier.wos | WOS:000444663700006 | en_US |
| dc.identifier.wosquality | Q2 | en_US |
| dc.indekslendigikaynak | Web of Science | en_US |
| dc.indekslendigikaynak | Scopus | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Academic Press Inc Elsevier Science | en_US |
| dc.relation.ispartof | Finance Research Letters | en_US |
| dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | Sovereign CDS spreads | en_US |
| dc.subject | Sovereign risk | en_US |
| dc.subject | Spatial econometrics | en_US |
| dc.subject | Emerging markets | en_US |
| dc.title | Spatial analysis of sovereign risks: The case of emerging markets | en_US |
| dc.type | Article | en_US |
