González Urteaga, Ana

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https://academica-e.unavarra.es/handle/2454/49191

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González Urteaga

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Ana

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Gestión de Empresas

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INARBE. Institute for Advanced Research in Business and Economics

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0000-0002-8256-8518

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88772

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810168

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2016 - 20192
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End date: 2019 × Subject: Emerging markets ×

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    PublicationOpen Access
    A systematic review of sovereign connectedness on emerging economies
    (Elsevier, 2019) Ballester Miquel, Laura; Díaz Mendoza, Ana Carmen; González Urteaga, Ana; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
    This article systematically reviews the academic literature on emerging market contagion in order to summarize what we have learnt about the transmission channels existing in these countries. Given the large body of academic research focused on this topic, we especially direct our attention to the strand of the literature that defines and empirically analyses this topic as the significant increase in the cross-market correlations between asset returns during crisis periods or when a shock occurs. The survey covers the findings on financial contagion in the stock, bond, exchange and credit default swap markets during a large period that covers several crises that have characterized the related literature, such as the currency crises of the 1990s, the global financial crisis and the Eurozone debt crisis. Finally, new topics are identified, serving as an outline for future research.
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    PublicationOpen Access
    How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets
    (Elsevier, 2016) Ballester Miquel, Laura; González Urteaga, Ana; Gestión de Empresas; Enpresen Kudeaketa
    This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel GVAR methodology using data from six Latin American emerging countries during an extensive sample period from 2004 to 2014. Our findings show evidence for the existence of significant and asymmetric cross-border effects. In particular, a competition effect is observed before the event occurs, indicating that non-event countries suffer (benefit) from upgrades (downgrades) in Brazil, Mexico and Chile (in Argentina and Brazil). In contrast, an imitation effect is observed after rating upgrades in Chile, to the benefit of bordering non-event countries.