Series: IMF Working Papers
Author(s): Brenda Gonzalez-Hermosillo , Vance Martin , Mardi Dungey , and Renee Fry
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 December 2003
Keywords: Risk Aversion, SVAR, bond, bond spreads, statistics, financial markets, Multiple or Simultaneous Equation Models: Models with Panel Data, Financial Markets and the Macroeconomy, International Lending and Debt Problems,
The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also...