01922cas a2200241 a 4500 AALejournalIMF005005 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451869460 1018-5941 BD-DhAAL BD-DhAAL Gonzalez-Hermosillo, Brenda. Investors' Risk Appetite and Global Financial Market Conditions / Brenda Gonzalez-Hermosillo. Washington, D.C. : International Monetary Fund, 2008. 1 online resource (75 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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 changes substantially depending on the crisis episode. Contagion from emerging markets becomes small or non-existent when global financial market risks explicitly are taken into account. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2008/085 Full text available on IMF http://elibrary.imf.org/view/journals/001/2008/085/001.2008.issue-085-en.xml IMF e-Library