Series: IMF Working Papers
Author(s): Brenda Gonzalez-Hermosillo
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 April 2008
Keywords: volatility risk, default risk, risk appetite, financial markets, bond, global financial markets, bond spreads, financial market,
A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model ident...