The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach
| dc.audience | Researchers | eng |
| dc.audience | Students | eng |
| dc.audience | Teachers | eng |
| dc.contributor.institucion | Banco de la República - Colombia | es |
| dc.coverage.ciudad | Bogotá | es |
| dc.creator | Melo-Velandia, Luis Fernando | |
| dc.creator | Romero-Chamorro, José Vicente | |
| dc.creator | Ramírez-González, Mahicol Stiben | |
| dc.date.accessioned | 2023-05-08T18:33:24Z | |
| dc.date.available | 2023-05-08T18:33:24Z | |
| dc.date.created | 2023-05-08 | |
| dc.description.abstract | In this paper,we analyze the tail-dependence structure of credit default swaps (CDS) and the global financial cycle for a group of eleven emerging markets. Using a Copula-CoVaR model,we provide evidence that there is a significant taildependence between variables related with the global financial cycle, such as the VIX, and emerging market CDS. These results are particularly important in the context of distressed global financial markets (right tail of the distributions of the VIX) because they provide international investors with relevant information on how to rebalance their portfolios and a more suitable metric to analyze sovereign risk that goes beyond the traditional CoVaR. Additionally, we present further evidence supporting the importance of the global financial cycle in sovereign risk dynamics. | eng |
| dc.format.extent | 27 páginas | |
| dc.format.mimetype | ||
| dc.identifier.uri | https://repositorio.redinvestigadores.org/handle/Riec/128 | |
| dc.language.iso | eng | |
| dc.relation.ispartof | Documentos de Trabajo | spa |
| dc.relation.number | No. 105 | |
| dc.relation.repec | https://ideas.repec.org/p/rie/riecdt/105.html | |
| dc.relation.uri | https://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/10620/be_1231.pdf | |
| dc.rights.accessRights | Open Access | eng |
| dc.rights.cc | Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 | |
| dc.rights.spa | Acceso abierto | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/ | eng |
| dc.subject.jel | G15 - International Financial Markets | es |
| dc.subject.jel | G17 - Financial Forecasting and Simulation | es |
| dc.subject.jel | C58 - Financial Econometrics | es |
| dc.subject.keyword | Global financial cycle | |
| dc.subject.keyword | Country risk | eng |
| dc.subject.keyword | CDS | eng |
| dc.subject.keyword | Copula-CoVaR | eng |
| dc.subject.lemb | Ciclos financieros -- Mercados emergentes -- Modelo Copula-CoVaR | spa |
| dc.title | The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach | es |
| dc.type | Working paper | eng |
| dc.type.hasversion | Published Version | |
| dc.type.spa | Documentos de Trabajo | spa |
Files
License bundle
1 - 1 of 1
- Name:
- license.txt
- Size:
- 7.52 KB
- Format:
- Item-specific license agreed upon to submission
- Description: