Sovereign Spreads and Contagion Risks in Asia

June 1, 2011

Preview Citation

Format: Chicago

Filiz D Unsal, and Carlos Caceres. Sovereign Spreads and Contagion Risks in Asia, (USA: International Monetary Fund, 2011) accessed December 4, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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, directly from worsening fundamentals, and indirectly from spillovers originating in other sovereigns and the uncertainty surrounding exchange rates. Earlier in the crisis, the increase in market-implied contagion led to higher Asian sovereign bond yield spreads over swaps. But, after the crisis, Asia’s sovereign spreads normalized, despite the debt crisis in the euro area, reflecting a fall in both exchange rate and spillover risks.

Subject: Bond yields, Currencies, Exchange rate risk, Financial institutions, Financial regulation and supervision, Financial services, Money, Sovereign bonds, Yield curve

Keywords: Asia and Pacific, Bond yield, Bond yields, Contagion, Currencies, Currency risk, Debt ratio, Exchange rate, Exchange rate risk, Exchange rates, Fiscal policy, Global, Government bond, Government bond bond yield, Market price, Market price of risk, Sovereign bond, Sovereign bond bond yield, Sovereign bonds, Sovereign spreads, WP, Yield curve

Publication Details

Pages:

25
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2011/134
Stock No:

WPIEA2011134
ISBN:

9781455259397
ISSN:

1018-5941

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