ABSTRACT

We apply novel spatial econometric techniques to investigate spillovers in sovereign risk for 41 advanced and emerging economies during 2004–2019. We find that sovereign risk spillover channels that play major roles in various periods are different. Real linkages (trade, financial, and geography) and information channel both play major roles in spillover effects during the full sample period. During the financial crisis period, only business connections (trade and financial) have an effect, while only the geographical distance channel did not have an effect during the European debt crisis period. We also assess the relative importance of the direct and indirect effects of macroeconomic variables. We observe that the long-term effects are larger than the short-term effects. Ultimately, our analysis emphasizes the importance of considering multiple channels when analyzing sovereign risk spillovers.

摘要

我们应用新颖的空间计量经济学技术来调查 2004-2019 年期间 41 个发达和新兴经济体的主权风险溢出效应。我们发现，在不同时期起主要作用的主权风险溢出渠道是不同的。真实联系（贸易、金融和地理）和信息渠道在整个样本期间的溢出效应中都发挥着重要作用。在金融危机期间，只有商业联系（贸易和金融）有影响，而在欧债危机期间，只有地理距离渠道没有影响。我们还评估了宏观经济变量的直接和间接影响的相对重要性。我们观察到长期影响大于短期影响。最终，