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Monetary policy spillovers and emerging market credit: The impact of Federal Reserve communications on sovereign CDS spreads
Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - 2011
In 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...
Persistent link: https://www.econbiz.de/10010286429
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Monetary policy spillovers and emerging market credit : the impact of Federal Reserve communications on sovereign CDS spreads
Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - 2011
In 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...
Persistent link: https://www.econbiz.de/10009304122
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Day and night returns of Chinese ADRs
Fender, Ingo; Hayo, Bernd; Neuenkirchen, Matthias - In: Journal of banking & finance 36 (2012) 10, pp. 2795-2803
Persistent link: https://www.econbiz.de/10009673244
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Daily pricing of emerging market sovereign CDS before and during the global financial crisis
Fender, Ingo; Hayo, Bernd; Neuenkirchen, Matthias - In: Journal of banking & finance 36 (2012) 10, pp. 2786-2794
Persistent link: https://www.econbiz.de/10009673246
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Monetary theory, monetary policy, and financial markets
Hagen, Jürgen von; Hayo, Bernd; Fender, Ingo - In: Frontiers in economics : with 29 tables, (pp. 1-36). 2002
Persistent link: https://www.econbiz.de/10001672292
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Geldtheorie, Geldpolitik und Finanzmärkte
Hagen, Jürgen von; Hayo, Bernd; Fender, Ingo - In: Neue Entwicklungen in der Wirtschaftswissenschaft : mit …, (pp. 1-42). 2002
Persistent link: https://www.econbiz.de/10001652539
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Daily CDS Pricing in Emerging Markets Before and During the Global Financial Crisis
Fender, Ingo - 2012
In this paper, we study the determinants of daily spreads for emerging market sovereign credit default swaps (CDS) over the period April 2002–December 2011. Using GARCH models, we find, first, that daily CDS spreads for emerging market sovereigns are more related to global and regional risk...
Persistent link: https://www.econbiz.de/10013113983
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Daily pricing of emerging market sovereign CDS before and during the global financial crisis
Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - In: Journal of banking & finance 36 (2012) 10, pp. 2786-2795
Persistent link: https://www.econbiz.de/10010002777
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Daily pricing of emerging market sovereign CDS before and during the global financial crisis
Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - In: Journal of Banking & Finance 36 (2012) 10, pp. 2786-2794
In this paper, we study the determinants of daily spreads for emerging market sovereign credit default swaps (CDSs) over the period April 2002–December 2011. Using GARCH models, we find, first, that daily CDS spreads for emerging market sovereigns are more related to global and regional risk...
Persistent link: https://www.econbiz.de/10010595291
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Daily CDS pricing in emerging markets before and during the global financial crisis
Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - Volkswirtschaft Abteilung, Fachbereich … - 2011
In this paper, we study the determinants of daily spreads for emerging market sovereign credit default swaps (CDS) over the period April 2002–December 2011. Using GARCH models, we find, first, that daily CDS spreads for emerging market sovereigns are more related to global and regional risk...
Persistent link: https://www.econbiz.de/10009371452