Won, Seungyeon; Yun, Young Sup; Kim, Byoung Joon - In: Emerging Markets Finance and Trade 49 (2013) 1, pp. 82-100
Using JPMorgan's emerging market bond index, this paper analyzes how increases in country credit spreads can persist in emerging bond markets. The results of T-GARCH regressions show that, during financial crisis periods, emerging countries' credit spreads may increase persistently as a result...