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The causal linkages between sovereign CDS prices for the BRICS and major European economies

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  • Stolbov, Mikhail

Abstract

The article examines causal relationships between sovereign credit default swaps (CDS) prices for the BRICS and most important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function (CCF) approach that distinguishes between causality-in-mean and causality-in-variance and the Breitung-Candelon causality test in the frequency domain are used in the research. Both tests reveal limited dependence of the BRICS CDS (especially, in the case of Brazil, China and South Africa) on the EU CDS prices. Thus, the paper underscores the signs of decoupling in the sovereign CDS market and also supports the view that the European debt crisis has so far had a limited non-EU impact in this market.

Suggested Citation

  • 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.
  • Handle: RePEc:zbw:ifweej:201426
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    File URL: http://dx.doi.org/10.5018/economics-ejournal.ja.2014-26
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Maria E. de Boyrie & Ivelina Pavlova, 2016. "Dynamic interdependence of sovereign credit default swaps in BRICS and MIST countries," Applied Economics, Taylor & Francis Journals, vol. 48(7), pages 563-575, February.
    2. Bouri, Elie & Awartani, Basel & Maghyereh, Aktham, 2016. "Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010," Energy Economics, Elsevier, vol. 56(C), pages 205-214.

    More about this item

    Keywords

    BRICS; sovereign credit default swaps (CDS); causality-in-mean; causality-invariance; decoupling; European debt crisis; Breitung-Candelon test;

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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