Sovereign Credit Default Swaps and the Macroeconomy
The aim of this study is to determine whether the domestic interest rate or the exchange rate affect the sovereign credit default swaps. To date most studies on corporate CDS markets have emphasised the importance of domestic factors such as the interest rate. But with the sovereign CDS market, the international environment also needs to be incorporated into any analysis. Using a VAR and Granger non-causality tests, the results suggest that it is the exchange rate that has the most important effect on sovereign CDS markets, with domestic interest rates having only a marginal effect.
|Date of creation:||2011|
|Date of revision:|
|Contact details of provider:|| Postal: Claverton Down, Bath BA2 7AY|
Phone: +44 (0)1225 383799
Fax: +44 (0)1225 323423
Web page: http://www.bath.ac.uk
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fabozzi, Frank J. & Cheng, Xiaolin & Chen, Ren-Raw, 2007. "Exploring the components of credit risk in credit default swaps," Finance Research Letters, Elsevier, vol. 4(1), pages 10-18, March.
- Frank Skinner & Antonio Diaz, 2002. "An Empirical Study of Credit Default Swaps," ICMA Centre Discussion Papers in Finance icma-dp2003-04, Henley Business School, Reading University, revised Jan 2003.
- Skinner, Frank S. & Townend, Timothy G., 2002. "An empirical analysis of credit default swaps," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 297-309.
- repec:cdl:ucsdec:qt9bk607p6 is not listed on IDEAS
- Granger, Clive W. J. & Huangb, Bwo-Nung & Yang, Chin-Wei, 2000.
"A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 40(3), pages 337-354.
When requesting a correction, please mention this item's handle: RePEc:eid:wpaper:24071. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Research Publications Librarian)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.