Different no more: Country spreads in advanced and emerging economies

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Different no more: Country spreads in advanced and emerging economies

Born, Benjamin; Müller, Gernot J.; Pfeifer, Johannes; Wellmann, Susanne
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URI: http://hdl.handle.net/10900/97484
http://nbn-resolving.de/urn:nbn:de:bsz:21-dspace-974842
http://dx.doi.org/10.15496/publikation-38867
Dokumentart: Aufsatz
Date: 2020-01-29
Source: University of Tübingen Working Papers in Business and Economics ; No. 129
Language: English
Faculty: 6 Wirtschafts- und Sozialwissenschaftliche Fakultät
Department: Wirtschaftswissenschaften
DDC Classifikation: 330 - Economics
Keywords: Wirtschaft , Verbreitung , Finanzkrise
Other Keywords:
Country spreads
Country risk
Interest-rate shocks
Financial crisis
Business cycle
Spread shocks
Average treatment effect
License: Publishing license excluding print on demand
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Abstract:

Interest-rate spreads fluctuate widely across time and countries. We illustrate this on the basis of about 3,100 quarterly observations for 21 advanced and 17 emerging economies since the early 1990s. Prior to the financial crisis, spread fluctuations in advanced economies are an order of magnitude smaller than in emerging economies. After 2008 their behavior has largely converged along a number of dimensions. We also provide evidence on the transmission of spread shocks and find it similar across sample periods and country groups. The importance of spread shocks as a source of output fluctuations in advanced economies has increased after 2008.

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