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The causal relationships between sovereign CDS premiums for Japan and selected EU countries

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  • Yasunori Yoshizaki
  • Yuki Toyoshima
  • Shigeyuki Haomori

Abstract

In this article, we apply the cross-correlation function approach developed by Hong (2001) in order to investigate how the recent sovereign debt crisis has influenced interrelations between sovereign credit default swap (CDS) premiums for Japan and for Europe's major countries. We confirm the existence of a causal linkage between the mean of Japan and those of EU countries except Greece. In addition, this causal linkage has strengthened remarkably since the crisis. Further, we detect a causal linkage in terms of variance between Japan and certain EU countries including Greece.

Suggested Citation

  • Yasunori Yoshizaki & Yuki Toyoshima & Shigeyuki Haomori, 2013. "The causal relationships between sovereign CDS premiums for Japan and selected EU countries," Applied Economics Letters, Taylor & Francis Journals, vol. 20(8), pages 742-747, May.
  • Handle: RePEc:taf:apeclt:v:20:y:2013:i:8:p:742-747 DOI: 10.1080/13504851.2012.741671
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    References listed on IDEAS

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    1. N. Gregory Mankiw & Ricardo Reis, 2003. "What Measure of Inflation Should a Central Bank Target?," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1058-1086, September.
    2. Claudio Morana, 2007. "A structural common factor approach to core inflation estimation and forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 163-169.
    3. Alberto Humala & Gabriel Rodríguez, 2012. "A factorial decomposition of inflation in Peru: an alternative measure of core inflation," Applied Economics Letters, Taylor & Francis Journals, vol. 19(14), pages 1331-1334, September.
    4. Stephen G. Cecchetti & Kim, 2004. "Inflation Targeting, Price-Path Targeting, and Output Variability," NBER Chapters,in: The Inflation-Targeting Debate, pages 173-200 National Bureau of Economic Research, Inc.
    5. Ricardo Reis, 2005. "A Dynamic Measure of Inflation," NBER Working Papers 11746, National Bureau of Economic Research, Inc.
    6. Abdul Aleem & Amine Lahiani, 2011. "Estimation and evaluation of core inflation measures," Applied Economics, Taylor & Francis Journals, vol. 43(25), pages 3619-3629.
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    Cited by:

    1. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 8, pages 1-43.

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