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Cross-border credit derivatives linkages

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  • Bianchi, Benedetta

Abstract

This paper is a first attempt to include credit derivatives in international macro-financial analysis. We document that gross credit derivatives holdings map to bilateral portfolio investment linkages. On a net basis, our results suggest an asymmetry between sectors and between net buyers and net sellers of CDSs. When a banking system is a net buyer of protection, the protection purchased is proportional to the debt securities held. Conversely, when a banking system is a net seller, the protection sold is proportional to the securities held. For investment funds, we find no aggregate relation between net CDSs and the debt securities held. JEL Classification: F34, F21

Suggested Citation

  • Bianchi, Benedetta, 2021. "Cross-border credit derivatives linkages," ESRB Working Paper Series 115, European Systemic Risk Board.
    • Handle: RePEc:srk:srkwps:2021115
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    References listed on IDEAS

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    More about this item

    Keywords

    CDS; cross-border positions; EMIR data; risk transfer;
    All these keywords.

    JEL classification:

    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements

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