IDEAS home Printed from https://ideas.repec.org/a/liu/liucej/v16y2019i1p105-124.html

Brexit and CDS spillovers across UK and Europe

Author

Listed:
  • Jamal Bouoiyour, Refk Selmi

Abstract

The purpose of the paper is twofold. First, it aims at identifying when UK and European (France, Germany, Italy and Spain) Credit Default Swaps (CDSs) exhibit explosivity with respect to their past behaviors. Second, it seeks to quantify the dynamics of CDS volatility spillover effects surrounding the UK’s EU membership referendum commonly known as "Brexit". Using a recursive identification algorithm and new spillover measures suggested by Diebold and Yilmaz (2012), two interesting findings were drawn. We detect significant build-ups in CDS prices for all countries under study soon after the day relative to the announcement of Brexit. In addition, we show that the great uncertainty over Brexit generates significant risk spillovers across the underlined CDS. In particular, we find that UK, Italy and Spain are the "net volatility transmitters", while France and Germany seem the "net volatility receivers". Our findings may help in formulating appropriate regulatory policies and designing effective hedging strategies.

Suggested Citation

  • Jamal Bouoiyour, Refk Selmi, 2019. "Brexit and CDS spillovers across UK and Europe," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 16(1), pages 105-124, June.
    • Handle: RePEc:liu:liucej:v:16:y:2019:i:1:p:105-124
    as

    Download full text from publisher

    File URL: https://ejce.liuc.it/18242979201901/182429792019160105.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Christian Manicaro, 2022. "The link between regional CDS spreads and equity returns: a multivariate GARCH approach," SN Business & Economics, Springer, vol. 2(2), pages 1-15, February.
    2. Ozcan Ceylan, 2023. "Analysis of Dynamic Connectedness among Sovereign CDS Premia," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 9(1), pages 33-47, June.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:liu:liucej:v:16:y:2019:i:1:p:105-124. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Laura Ballestra (email available below). General contact details of provider: https://edirc.repec.org/data/liuccit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.