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Information transmission between sovereign debt CDS and other financial factors – The case of Latin America

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Author Info

  • Wang, Alan T.
  • Yang, Sheng-Yung
  • Yang, Nien-Tzu

Abstract

This paper extends previous research by investigating the intertemporal causality relationships between daily Latin America sovereign credit default swap (CDS) returns and other financial sovereign debt spread determinants. The empirical results indicate that information in sovereign CDS can both lead and lag these financial determinants. Specifically, country financial variables, including exchange rates and lending spreads, and global financial variables including 10-U.S. Treasury yields, VIX and TED spreads, are important determinants for future sovereign CDS price movements. The findings provide investment implications for international financial markets.

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Bibliographic Info

Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

Volume (Year): 26 (2013)
Issue (Month): C ()
Pages: 586-601

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Handle: RePEc:eee:ecofin:v:26:y:2013:i:c:p:586-601

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Web page: http://www.elsevier.com/locate/inca/620163

Related research

Keywords: Sovereign debt; CDS; VIX; TED; VECM;

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References

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Cited by:
  1. Chia-Lin Chang & David Allen & Michael McAleer, 2013. "Recent Developments in Financial Economics and Econometrics: An Overview," Working Papers in Economics 13/06, University of Canterbury, Department of Economics and Finance.

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