How to order
IMF Publications

Working Papers in full text
2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 All

Other research-related activities and publications of the IMF can be found at IMF Research

Free Email Notification

Receive emails when we post new items of interest to you.

Subscribe or Modify your profile

Spatial Spillovers in Emerging Market Spreads

Author/Editor: Baldacci, Emanuele | Dell'Erba, Salvatore | Poghosyan, Tigran
Authorized for Distribution: September 1, 2011
Electronic Access: Free Full Text (PDF file size is 1,049KB)
Use the free Adobe Acrobat Reader to view this PDF file.
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

Summary: We use novel spatial econometrics techniques to explore spillovers in the sovereign bond market for 24 emerging economies during 1995-2010. The paper extends the previous literature focusing on spillover effects from advanced to emerging economies by analyzing transmission of shocks across emerging markets. After controlling for the impact of global factors, we find strong evidence of spillovers from both sovereign spreads and macroeconomic fundamentals in neighboring emerging economies. In addition to the geographical proximity, the channels of spatial transmission include trade and financial linkages. The results of the paper highlight the importance of accounting not only for spillovers from advanced economies to emerging markets, but also across emerging markets when analyzing sovereign spreads.
Order a print copy
Series: Working Paper No. 11/221
Subject(s): Bond markets | Bonds | Developed countries | Economic models | Emerging markets | External debt | Financial crisis | Global Financial Crisis 2008-2009 | Sovereign debt | Spillovers
Author's keyword(s): sovereign spreads | emerging market | spillovers | spatial econometrics
    Published:   September 1, 2011        
            Format:   Paper
    Stock No:   WPIEA2011221   Pages:   28
    Price:   US$18.00 (Academic Rate: US$18.00 )
Please address any questions about this title to