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Sovereign Risk Analysis Of Developing Countries: Findings From Credit Default Swap Premium Behaviour

Author

Listed:
  • Moch. Doddy Ariefianto

    (Universitas Ma Chung Malang)

  • Soenartomo Soepomo

    (Universitas Ma Chung Malang)

Abstract

This study conducts econometric analysis CDS Premium relations towards variables usually used as a sovereign rating explanatory. Estimation with data panel econometric found that global risk appetite is the most important influencing variable followed by foreign exchange reserve and yield spread. This item is consistent with the existing empiric literature and shows a high correlation between developing countries economy and world economic cycle.

Suggested Citation

  • Moch. Doddy Ariefianto & Soenartomo Soepomo, 2011. "Sovereign Risk Analysis Of Developing Countries: Findings From Credit Default Swap Premium Behaviour," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 14(1), pages 1-20, July.
    • Handle: RePEc:idn:journl:v:14:y:2011:i:1f:p:1-20
    DOI: https://doi.org/10.21098/bemp.v14i1.77
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    More about this item

    Keywords

    Sovereign Risk; Credit Default Swap; Panel Data;
    All these keywords.

    JEL classification:

    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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