Paserman Presents at the BIS Conference
Dr. Michal Paserman, assistant professor of finance, presented her research at a conference on Global Financial Interconnectedness organised by the BIS (the Bank of International Settlements), the Netherlands Bank, the Deutsche Bundesbank and the Review of Finance.
Guided by the need to safeguard monetary and financial stability, the BIS brought together leading academics, central bankers and bank supervisors with the objective of developing new models and tools to enhance the understanding of financial interconnectedness.
Dr. Paserman presented her work on “Comovement or Safe Haven? The Effect of Corruption on the Market Risk of Sovereign Bonds of Emerging Economies during Financial Crises”. Paserman’s work shows that the sensitivity of sovereign bonds issued by countries perceived as more corrupt to systematic shocks, increases during financial crises. The prices of bonds issued by less corrupt countries are determined more idiosyncratically when investor sentiment deteriorates, and realize more hedging benefits against the S&P 500 risk.
Paserman’s findings have important implications for global financial stability and suggest that by reducing corruption, emerging markets could benefit from global integration while decreasing potential side effects of sudden capital outflows during crises.