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Western Hemisphere > Argentina

You are looking at 1 - 2 of 2 items for :

  • Type: Journal Issue x
  • 'Panel Data Models; Spatio-temporal Models' x
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Cover IMF Working Papers
Spatial Spillovers in Emerging Market Spreads
Mr. Salvatore Dell'Erba
,
Mr. Emanuele Baldacci
, and
Mr. Tigran Poghosyan
We use novel spatial econometrics techniques to explore spillovers in the sovereign bond market for 24 emerging economies during 1995-2010. The paper extends the previous literature focusing on spillover effects from advanced to emerging economies by analyzing transmission of shocks across emerging markets. After controlling for the impact of global factors, we find strong evidence of spillovers from both sovereign spreads and macroeconomic fundamentals in neighboring emerging economies. In addition to the geographical proximity, the channels of spatial transmission include trade and financial linkages. The results of the paper highlight the importance of accounting not only for spillovers from advanced economies to emerging markets, but also across emerging markets when analyzing sovereign spreads.
Keywords:
WP; business cycle; debt; EM; sovereign spreads; emerging market; spillovers; spatial econometrics; Ols estimation; stripped bond; EM fundamentals; GDP ratio; EM sovereign; correlation matrix; estimation result; intra-EM spillover; trade linkage; Spatial models; Inflation; Business cycles; Global
Cover IMF Working Papers
Autocorrelation-Corrected Standard Errors in Panel Probits: An Application to Currency Crisis Prediction
Mr. Andrew Berg
and
Rebecca N. Coke
Many estimates of early-warning-system (EWS) models of currency crisis have reported incorrect standard errors because of serial correlation in the context of panel probit regressions. This paper documents the magnitude of the problem, proposes and tests a solution, and applies it to previously published EWS estimates. We find that (1) the uncorrected probit estimates substantially underestimate the true standard errors, by up to a factor of four; (2) a heteroskedasicity- and autocorrelation-corrected (HAC) procedure produces accurate estimates; and (3) most variables from the original models remain significant, though substantially less so than had been previously thought.
Keywords:
WP; Currency crisis; early-warning systems; serial correlation; panel probit; standard error estimate; coefficient estimate; bootstrap estimate; bootstrap estimator; HAC estimate; covariance estimator; Currency crises; Early warning systems; Export performance; Real exchange rates; Estimation techniques