Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56591 
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dc.contributor.authorFender, Ingoen
dc.contributor.authorHayo, Bernden
dc.contributor.authorNeuenkirch, Matthiasen
dc.date.accessioned2011-09-27-
dc.date.accessioned2012-04-04T13:56:42Z-
dc.date.available2012-04-04T13:56:42Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aPhilipps-University Marburg, Faculty of Business Administration and Economics |cMarburgen
dc.relation.ispartofseries|aMAGKS Joint Discussion Paper Series in Economics |x39-2011en
dc.subject.jelE52en
dc.subject.jelG14en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordcredit default swapsen
dc.subject.keywordemerging marketsen
dc.subject.keywordFederal Reserve communicationen
dc.subject.keywordfinancial crisisen
dc.subject.keywordpolicy spilloversen
dc.subject.stwGeldpolitiken
dc.subject.stwInformationsverhaltenen
dc.subject.stwStaatliche Informationen
dc.subject.stwSpillover-Effekten
dc.subject.stwCredit Default Swapen
dc.subject.stwLänderrisikoen
dc.subject.stwRisikoprämieen
dc.subject.stwAufstrebende Märkteen
dc.subject.stwUSAen
dc.subject.stwSchwellenländeren
dc.titleMonetary policy spillovers and emerging market credit: The impact of Federal Reserve communications on sovereign CDS spreads-
dc.typeWorking Paperen
dc.identifier.ppn668904046en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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