Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/6632
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dc.contributor.authorÖzatay, Fatih-
dc.contributor.authorÖzmen, Erdal-
dc.contributor.authorŞahinbeyoğlu, Gülbin-
dc.date.accessioned2021-09-11T15:43:01Z-
dc.date.available2021-09-11T15:43:01Z-
dc.date.issued2009en_US
dc.identifier.issn0264-9993-
dc.identifier.issn1873-6122-
dc.identifier.urihttps://doi.org/10.1016/j.econmod.2008.10.008-
dc.identifier.urihttps://hdl.handle.net/20.500.11851/6632-
dc.description.abstractWe investigate the impact of global financial conditions. U.S. macroeconomic news and domestic fundamentals on the evolution of EMBI spreads for a panel of 18 emerging market (EM) countries using daily data. To this end, we consider not only the conventional panel cointegration procedures but also the recent common correlated effects method to tackle cross-section dependence that may stem from common global shocks such as contagion. The results suggest that the long-run evolution of EMBI spreads depends on global financial conditions, crises contagion and domestic fundamentals proxied by sovereign ratings. The results from panel equilibrium correction models suggest that EMBI spreads respond substantially also to U.S. macroeconomic news and changes in the Federal Reserve's target interest rates. The magnitude and the sign of the effect of the U.S. news, however, crucially depend on the state of the U.S. economy, such as the presence of inflation dominance. (C) 2008 Elsevier B.V. All rights reserved.en_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofEconomic Modellingen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectBond spreadsen_US
dc.subjectEmerging marketsen_US
dc.subjectMacroeconomic newsen_US
dc.titleEmerging Market Sovereign Spreads, Global Financial Conditions and Us Macroeconomic Newsen_US
dc.typeArticleen_US
dc.departmentFaculties, Faculty of Economics and Administrative Sciences, Department of Economicsen_US
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümütr_TR
dc.identifier.volume26en_US
dc.identifier.issue2en_US
dc.identifier.startpage526en_US
dc.identifier.endpage531en_US
dc.identifier.wosWOS:000263424400029en_US
dc.identifier.scopus2-s2.0-58249095945en_US
dc.institutionauthorÖzatay, Salih Fatih-
dc.identifier.doi10.1016/j.econmod.2008.10.008-
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.scopusqualityQ3-
item.openairetypeArticle-
item.languageiso639-1en-
item.grantfulltextnone-
item.fulltextNo Fulltext-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
Appears in Collections:İktisat Bölümü / Department of Economics
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection
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