This paper proposes a conceptual framework to identify the potential sources of contagion in emerging bond markets and the mechanisms through which shocks originating in a particular emerging or mature market are likely to be transmitted across countries and markets. We then apply this framework...

The objective of the paper is to empirically assess the comovement of emerging bond returns of the key constituent countries of the EMBI Global benchmark Index since their introduction (broadly in 1997) up to the present. We aim at disentangling the respective roles of common external factors...