Search results for "spillover effects"
showing 4 items of 4 documents
How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets
2017
This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel GVAR methodology using data from six Latin American emerging countries during an extensive sample period from 2004 to 2014. Our findings show evidence for the existence of significant and asymmetric cross-border effects. In particular, a competition effect is observed before the event occurs, indicating that non-event countries suffer (benefit) from upgrades (downgrades) in Brazil, Mexico and Chile (in Argentina and Brazil). In contrast, an imitation effect is observed after…
Do sovereign ratings cause instability in cross-border emerging CDS markets?
2020
We analyse the cross-border transmission effect of credit ratings on sovereign CDSs covering a broad sample of emerging countries during the period 2004 to 2015. This study differentiates between the spillover and competition effects between and within geographical areas of emerging countries. We find substantial evidence of cross-border effects with asymmetric responses to upgrades and downgrades. The market reaction differs across regions, reflecting how the international and local impact of rating events are due to different types of effects. At the international portfolio level, the competitive effect is dominant over the spillover effect. Negative events in Asia benefit Africa (which i…
Clubs de convergence et effets de débordements géographiques : une analyse spatiale sur données régionales européennes, 1980-1995
2007
Our article offers an econometric model of spatial interactions for the empirical analysis of growth in European regions over the period 1980-1995. The model detects spatial spillover effects and makes it possible to take account of the European economy’s strong polarization. More specifically, by factoring in both spatial autocorrelation and spatial heterogeneity, we characterize the economic polarization pattern in European regions, identify convergence clubs, and model them as spatial regimes. We estimate a two-regime model with spatially autocorrelated errors and show that the convergence process differs between the two regimes. We find a strongly significant spatial spillover effect : …
Estimation des effets de proximité dans le processus de convergence régionale : une approche par l'économétrie spatiale sur 92 régions européennes (1…
2002
L'objectif de cet article est d'examiner les conséquences de la dépendance spatiale sur la croissance régionale et le processus de convergence. Sur un échantillon de 92 régions européennes sur la période 1980-1995, nous montrons que le modèle de b-convergence absolue doit être re-spécifié en raison de la présence d'auto-corrélation spatiale. Les méthodes de l'économétrie spatiale nous orientent vers une spécification avec erreurs spatialement auto-corrélées qui nous permet de mettre en évidence un effet de débordement géographique. Nous montrons ainsi que le taux de croissance d'une région est influencé positivement par les taux de croissance des régions contiguës.