Assessing the impacts of financial stress on the yield spreads of Poland, Mexico and South Africa
This study employs a nonlinear vector autoregression (VAR) model and quantile-based analysis to examine the effects of the financial stress index (FSI) of developed countries and the exchange market pressure index (EMPI) on the USD-denominated yield spreads of Poland, Mexico, and South Africa. It wa...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Economists' Association of Vojvodina
2025-01-01
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| Series: | Panoeconomicus |
| Subjects: | |
| Online Access: | https://doiserbia.nb.rs/img/doi/1452-595X/2025/1452-595X2300005O.pdf |
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