Series: IMF Working Papers
Author(s): Filiz Unsal , and Carlos Caceres
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 June 2011
Keywords: Sovereign spreads, contagion, market price of risk, exchange rate, exchange rate risk, euro, international monetary fund, Financial Markets and the Macroeconomy, General Financial Markets: General (includes Measurement and Data), General Financial Markets,
This paper explores how much of the movements in the sovereign spreads of Asian economies over the course of the global financial crisis has reflected shifts in (i) global risk aversion; (ii) country-specific risks...