The curse of non-investment grade countries

By Roberto Rigobon. 2002

138 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/768eed3b2c27be8f9806d7d34706a5deaf1b5093

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Citations in the corpus

Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008, unknown): “is substantial evidence that correlations among bond yields change with issuers’ ratings (e.g., Kaminsky and Schmukler [2001] and Rigobon [2002] ), the patterns in our data are perhaps more naturally interpreted as a consequence of changes in credit market conditions.”
A Spatial Modelling Approach to Contagion Among Emerging Economies (2006, methodology): “ditional probabilities; a commonly-used methodology is to examine whether the likelihood of a crisis in a given country is higher when there is a crises a “ground zero’’ country, or in several countries (e.g., Glick and Rose, 1999; Kaminsky and Reinhart, 2000; Rigobon, 2002 ).”
News Spillovers in the Sovereign Debt Market (2003, unknown): “Forbes and Rigobon (2002) draw a conceptual distinction between contagion and interdependence and suggest a sharper empirical test methodology to test for contagion.”
Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models (2012, unknown): “A closely related result to this article's is Rigobon ( 2002 , 2003 ), which uses heteroscedasticity based on discrete, multiple regimes instead of regressors.”
The Role of Portfolio Constraints in the International Propagation of Shocks (2008, unknown): “The correlations are adjusted for heteroskedasticity as in Forbes and Rigobon (2002).”
Once Again, is Openness Good for Growth? (2004, unknown): “4 Applications where the heteroskedasticity is modeled as a GARCH process are Caporale, et. al. (2002a), Rigobon (2002a) , Rigobon and Sack (2003a) for.”
Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis (2011, unknown): “Indeed, a nascent literature including Ehrmann, Fratzscher and Rigobon (2010) analyze the transmission of shocks both across markets and countries.”
Empirical Modeling of Contagion (2004, unknown): “…who divides shocks to asset markets as either common, spillovers that result from some identifiable channel, local or contagion, and, as shown below, that of other approaches, such as Forbes and Rigobon (2002), where contagion is represented by an increase in correlation during periods of crises.”
Emerging Markets Finance (2003, unknown): “Finally, there are a number of recent papers that link contagion to liquidity and financial frictions (see Calvo, 1999; Calvo and Mendoza, 2000a,b; Kodres and Pritsker, 2002; Rigobon, 2002b; Yuan, 2002).”
Asset Prices and Exchange Rates (2007, unknown): “See Wright (1928) for the original contribution, and Sentana (1992), Sentana and Fiorentini (2001) and Rigobon (2003) for recent developments.”
Asset Prices and Institutional Investors (2013, unknown): “The presence of asset-class effects has been documented by e.g., Barberis, Shleifer, and Wurgler (2005) and Boyer (2011) for stocks, Rigobon (2002) for sovereign bonds, Tan and Xiong (2011) for commodity futures.”
Imperfect Competition, Information Heterogeneity, and Financial Contagion (2007, unknown): “Consistent with Forbes and Rigobon (2002) and Kaminsky, Reinhart, and Vegh (2003), I say that financial contagion occurs when a shock to one market affects prices of other markets fundamentally unrelated either to that shock or to that market.”
Glossary to ARCH (GARCH) (2008, unknown): “Structural GARCH The Structural GARCH approach named by Rigobon (2002) relies on a multivariate GARCH model for the innovations in an otherwise unidentiﬁed structural VAR to identify the parameters through time-varying conditional heteroskedas-ticity.”