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http://bura.brunel.ac.uk/handle/2438/9935
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DC Field | Value | Language |
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dc.contributor.author | Banerji, S | - |
dc.contributor.author | Ventouri, A | - |
dc.contributor.author | Wang, Z | - |
dc.date.accessioned | 2013-01-07T15:03:43Z | - |
dc.date.accessioned | 2015-01-26T14:23:51Z | - |
dc.date.available | 2014-01 | - |
dc.date.available | 2015-01-26T14:23:51Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | Economic Modelling, 36: 566 - 576, (January 2014) | en_US |
dc.identifier.issn | 0264-9993 | - |
dc.identifier.uri | http://www.sciencedirect.com/science/article/pii/S0264999313004008 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/9935 | - |
dc.description.abstract | This paper investigates the dynamic relations between external factors, domestic macroeconomic factors and sovereign spreads in Asian emerging countries. We conduct our analysis using a methodology that combines theoretical and empirical elements, using a Structural Vector Autoregression (SVAR) model. In particular, we investigate how the spread of sovereign debt is influenced over time by both external as well as domestic factors. Moreover, we generate variance decompositions and impulse response functions. Our results show that variations in sovereign spreads are mainly driven by external shocks, with the term structure of U.S. interest rate and the global risk aversion having the most important role. The findings also indicate that shocks from the U.S. have a direct effect on sovereign spread and an indirect effect via domestic macroeconomic fundamentals. Finally, the evidence produced validates the presence of some response patterns of sovereign spread to the external shocks. | en_US |
dc.format.extent | 566 - 576 (10) | - |
dc.format.extent | 566 - 576 (10) | - |
dc.format.extent | 566 - 576 (10) | - |
dc.language | English | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.relation.replaces | http://bura.brunel.ac.uk/handle/2438/7098 | - |
dc.relation.replaces | 2438/7098 | - |
dc.subject | Bond spread | en_US |
dc.subject | SVAR | en_US |
dc.subject | Sovereign risk | en_US |
dc.subject | Emerging market | en_US |
dc.subject | Risk aversion | en_US |
dc.title | The sovereign spread in Asian emerging economies: The significance of external versus internal factors | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1016/j.econmod.2013.09.040 | - |
dc.relation.isPartOf | Economic Modelling | - |
dc.relation.isPartOf | Economic Modelling | - |
dc.relation.isPartOf | Economic Modelling | - |
pubs.edition | January 2014 | - |
pubs.edition | January 2014 | - |
pubs.edition | January 2014 | - |
pubs.publication-status | Published | - |
pubs.publication-status | Published | - |
pubs.publication-status | Published | - |
pubs.volume | 36 | - |
pubs.volume | 36 | - |
pubs.volume | 36 | - |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance/Economics and Finance | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups/Centre for Research into Entrepreneurship, International Business and Innovation in Emerging Markets | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute of Cancer Genetics and Pharmacogenomics | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Centre for Systems and Synthetic Biology | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups/Multidisclipary Assessment of Technology Centre for Healthcare (MATCH) | - |
Appears in Collections: | Accounting Economics and Finance Publications |
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