Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/215085 
Year of Publication: 
2020
Series/Report no.: 
CESifo Working Paper No. 8083
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
Interest-rate spreads fluctuate widely across time and countries. We characterize their behavior using some 3,200 quarterly observations for 21 advanced and 17 emerging economies since the early 1990s. Before the financial crisis, spreads are 10 times more volatile in emerging economies than in advanced economies. Since 2008, the behavior of spreads has converged across country groups, largely because it has adjusted in advanced economies. We also provide evidence on the transmission of spread shocks and find it similar across sample periods and country groups. Spread shocks have become a more important source of output fluctuations in advanced economies after 2008.
Subjects: 
country spreads
country risk
interest-rate shocks
financial crisis
business cycle
spread shocks
average treatment effect
JEL: 
G15
F41
E32
Document Type: 
Working Paper
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