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dc.contributor.authorFender, Ingoen_US
dc.contributor.authorHayo, Bernden_US
dc.contributor.authorNeuenkirch, Matthiasen_US
dc.date.accessioned2011-09-27en_US
dc.date.accessioned2012-04-04T13:56:42Z-
dc.date.available2012-04-04T13:56:42Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/56591-
dc.description.abstractIn this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April 2002-July 2007) CDS spreads react more to country-specific factors than to US monetary policy news. This finding is reversed during the financial crisis sub-sample (August 2007-December 2009), when US monetary policy actions and communications affect CDS spreads in a notable way. Finally, our analysis suggests that CDS spreads became more prone to spillover effects during the financial crisis.en_US
dc.language.isoengen_US
dc.publisherUniv., Dep. of Business Administration & Economics Marburgen_US
dc.relation.ispartofseriesJoint discussion paper series in economics 39-2011en_US
dc.subject.jelE52en_US
dc.subject.jelG14en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordcredit default swapsen_US
dc.subject.keywordemerging marketsen_US
dc.subject.keywordFederal Reserve communicationen_US
dc.subject.keywordfinancial crisisen_US
dc.subject.keywordpolicy spilloversen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwInformationsverhaltenen_US
dc.subject.stwStaatliche Informationen_US
dc.subject.stwSpillover-Effekten_US
dc.subject.stwCredit Default Swapen_US
dc.subject.stwLänderrisikoen_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwAufstrebende Märkteen_US
dc.subject.stwUSAen_US
dc.subject.stwSchwellenländeren_US
dc.titleMonetary policy spillovers and emerging market credit: The impact of Federal Reserve communications on sovereign CDS spreadsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn668904046en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:MAGKS Joint Discussion Paper Series in Economics, Universität Marburg

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