News spillovers in the sovereign debt market

Journal of Financial Economics

Volumn 75, Issue 3, 2005, Pages 691-734

  Gande, Amar ^a   Parsley, David C ^a  

^a VANDERBILT UNIVERSITY   (United States)

Author keywords

Asymmetric effects; Credit ratings; Sovereign debt; Spillovers

Indexed keywords

EID: 13844266653     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2003.11.003     Document Type: Article

References (46)

1. F. Allen D. Gale Financial contagion Journal of Political Economy 108 1 2000 1-33
2. K.H. Bae G.A. Karolyi R.M. Stulz A new approach to measuring financial contagion Review of Financial Studies 16 2003 717-763
3. T. Baig I. Goldfajn Financial market contagion in the Asian crisis International Monetary Fund Staff Papers 46 2 1999 167-195
4. G. Bittlingmayer T.W. Hazlett DOS Kapital: Has antitrust action against Microsoft created value in the computer industry? Journal of Financial Economics 55 2000 329-359
5. Boyer, B.H., Gibson, M.S., Loretan, M., 1999. Pitfalls in tests for changes in correlations. Unpublished Working Paper (International Finance Discussion Paper 597). Board of Governors of the Federal Reserve System, Washington, DC
6. R. Cantor F. Packer Determinants and impact of sovereign credit ratings Federal Reserve Bank of New York Economic Policy Review 2 2 1996 37-53
7. R. Chakrabarti R. Roll East Asia and Europe during the 1997 Asian collapse: A clinical study of a financial crisis Journal of Financial Markets 5 1 2002 1-30
8. J. De Gregorio R. Valdes Crisis transmission: Evidence from the Debt, Tequila, and Asian Flu crises. In: S. Claessens K. Forbes (Eds.). International Financial Contagion 2001 Kluwer Academic Publishers Boston, MA 99-127
9. E. Eckbo Horizontal mergers, collusion, and stockholder wealth Journal of Financial Economics 11 1983 241-273
10. B. Eichengreen A. Mody What explains changing spreads on emerging market debt: Fundamentals or market sentiment. In: S. Edwards (Ed.). The Economics of International Capital Flows 2000 University of Chicago Press Chicago, IL 107-136
11. B. Eichengreen A. Rose C. Wyploz Contagious currency crises Scandinavian Journal of Economics 98 4 1996 463-484
12. K. Forbes R. Rigobon No contagion, only interdependence: Measuring stock market co-movements. Journal of Finance 57 5 2002 2223-2261
13. J.A. Frankel Regional Trading Blocs 1997 Institute for International Economics Washington, DC
14. W. Greene Econometric Analysis fifth ed. 2003 Prentice-Hall New Jersey
15. J.R.M. Hand R.W. Holthausen R.W. Leftwich The effect of bond rating agency announcements on bond and stock prices Journal of Finance 47 2 1992 733-752
16. Hernandez, L.F., Valdes, R.O., 2001. What drives contagion: Trade, neighborhood, or financial links? Unpublished Working Paper 01/29, International Monetary Fund, Washington, DC
17. Ito, T., Hashimoto, Y., 2002. High frequency contagion of currency crisis in Asia. Unpublished Working Paper 9376, National Bureau Economic Research, Cambridge, MA
18. J.I. Jennrich An asymptotic chi-square test for the equality of two correlation matrices Journal of the American Statistical Association 65 1970 904-912
19. G.L. Kaminsky C.M. Reinhart On crises, contagion, and confusion Journal of International Economics 51 1 2000 145-168
20. Kaminsky, G.L., Reinhart, C.M., 2001. Bank lending and contagion: evidence from the Asian crises. In: Ito, T., Krueger, A. (Eds.), Regional and Global Capital Flows: Macroeconomic Causes and Consequences, NBER-East Asia Seminar on Economics, vol. 10. University of Chicago Press, Chicago, London
21. G.L. Kaminsky C.M. Reinhart Financial markets under stress Journal of Development Economics 69 2 2002 451-470
22. G.L. Kaminsky S.L. Schmukler What triggers market jitters: A chronology of the Asian crisis Journal of International Money and Finance 18 1999 537-560
23. G.L. Kaminsky S.L. Schmukler Emerging market instability: Do sovereign ratings affect country risk and stock returns? World Bank Economic Review 16 2002 171-195
24. G.A. Karolyi R.M. Stulz Why do markets move together? An investigation of U.S.-Japan stock return co-movements Journal of Finance 51 3 1996 951-986
25. L. Kodres M. Pritsker A rational expectations model of financial contagion Journal of Finance 57 2 2002 769-799
26. A. Kyle W. Xiong Contagion as a wealth effect Journal of Finance 56 4 2001 1401-1440
27. L.H.P. Lang R.M. Stulz Contagion and competitive intra-industry effects of bankruptcy announcements Journal of Financial Economics 32 1 1992 45-60
28. R. La Porta F. Lopez-de-Silanes A. Shleifer R. Vishny Legal determinants of external finance Journal of Finance 52 3 1997 1131-1150
29. R. La Porta F. Lopez-de-Silanes A. Shleifer R. Vishny Law and finance Journal of Political Economy 106 6 1998 1113-1155
30. Loretan, M., English, W.B., 2000. Evaluating changes in correlations during periods of high market volatility. Bank of International Settlements Quarterly Review, 29-36
31. P. Mauro N. Sussman Y. Yafeh Emerging market spreads: Then versus now Quarterly Journal of Economics 117 2 2002 695-733
32. Parsley, D., Wei, S.J., 2001. Limiting currency volatility to stimulate goods market integration: A price based approach. Unpublished Working Paper, Vanderbilt University, Nashville, Tennessee
33. S. Radelet J. Sachs The East Asian Financial Crisis: Diagnosis, Remedies, Prospects Brookings Papers 28 1 1998 1-90
34. C.M. Reinhart Default currency crises, and sovereign credit ratings Worldbank Economic Review 16 2002 151-170
35. H. Reisen J. von Maltzan Boom and bust and sovereign ratings International Finance 2 2 1999 273-293
36. H. Reynolds A. Flores Foreign Law: Current Sources of Codes and Basic Legislation in Jurisdictions of the World 1989 Rothman Littleton, CO
37. R. Rigobon The curse of noninvestment grade countries Journal of Development Economics 69 2 2002 423-449
38. R. Rigobon On the measurement of international propagation of shocks: Is the transmission stable? Journal of International Economics 61 2 2003 261-283
39. van Rijckeghem, C., Weder, B., 1999. Sources of contagion: Finance or trade? Unpublished Working Paper 99/146, International Monetary Fund, Washington, DC
40. Ronn, E., 1995. The impact of large changes in asset prices on intra-market correlations in the stock and bond markets. Mimeo, University of Texas, Austin
41. A. Rose One money, one market: Estimating the effect of common currencies on trade Economic Policy 30 2000 9-48
42. A. Rose E. van Wincoop National money as a barrier to trade: The real case for monetary union American Economic Review 91 2 2001 386-390
43. A. Saunders The inter-bank market, contagion effects, and international financial crises. In: R. Portes A.K. Swoboda (Eds.). Threats to International Financial Stability 1987 Cambridge University Press Cambridge, MA 196-232
44. M. Slovin M. Sushka J. Polonchek An analysis of contagion and competitive effects at commercial banks Journal of Financial Economics 54 2 1999 197-225
45. R. Stillman Examining antitrust policy towards horizontal mergers Journal of Financial Economics 11 1983 225-240
46. K.L. Womack Do analysts' recommendations have investment value? Journal of Finance 51 1 1996 137-167