publication . Preprint . Other literature type . 2008

Investors’ Risk Appetite and Global Financial Market Conditions

González-Hermosillo, Brenda; BGonzález-Hermosillo@imf.org;
Open Access
  • Published: 01 Apr 2008
Abstract
A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model identifies and quantifies the contribution on bond spreads from global market conditions (including funding liquidity, market liquidity, as well as credit and volatility risks), contagion effects, and idiosyncratic factors. While idiosyncratic factors explain a large amount of the changes in bond spreads over the sample, global market risk factors are fundamental driving forces during periods of stress. The relative importance of the different risk factors ...
Subjects
Medical Subject Headings: health care economics and organizations
free text keywords: Financial risk;Economic models;Bond issues;Spillovers;Market risk;International capital markets;Liquidity risk;volatility risk, default risk, risk appetite, financial markets, bond, global financial markets, bond spreads, financial market,
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publication . Preprint . Other literature type . 2008

Investors’ Risk Appetite and Global Financial Market Conditions

González-Hermosillo, Brenda; BGonzález-Hermosillo@imf.org;