Dynamic relationship between Credit Default Swaps and sovereign debt. Analysis on the Latin-American context

被引：0

作者：

Martinez Arroyo, Jeimy Lorena ^{[1
]}

Marin Rodriguez, Nini Johana ^{[2
]}

机构：

[1] Univ Medellin, Suramer SA, Medellin, Colombia

[2] Univ Medellin, Fac Ingn, Medellin, Colombia

来源：

CUADERNOS DE ECONOMIA | 2021年 / 40卷 / 83期

关键词：

Credit default swaps; credit derivatives; credit risk; dynamic conditional correlation; sovereign debt; MODEL; RISK;

D O I：

10.15446/cuad.econ.v40n83.81997

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We analyse how the Credit Default Swaps (CDS) are related to sovereign risk in Brazil, Chile, Colombia, and Mexico, during the period 2010-2019. Dynamic conditional correlation (DCC) models and Granger causality tests are estimated. There is a decreasing general trend in the correlations of the last years of the sample, which can be explained by an improvement in the sovereign debt credit rating and a fall in investment risk in Colombia, Chile, and Brazil. In addition, the empirical results show that the CDS influences the behaviour of public debt bonds.

引用

页码：583 / 608

页数：26

共 26 条

[1] How do global investors differentiate between sovereign risks? The new normal versus the old [J].

Amstad, Marlene ;

Remolona, Eli ;

Shek, Jimmy .

JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2016, 66 :32-48

[2]

Arbeláez Zapata Juan Camilo, 2008, Cuad. Adm., V21, P87

[3]

Banco de la Republica, 2016, DODM144

[4] A hierarchical copula-based world-wide valuation of sovereign risk [J].

Bernardi, Enrico ;

Falangi, Federico ;

Romagnoli, Silvia .

INSURANCE MATHEMATICS & ECONOMICS, 2015, 61 :155-169

[5] Dynamic correlation analysis of financial contagion: Evidence from Asian markets [J].

Chiang, Thomas C. ;

Jeon, Bang Nam ;

Li, Huimin .

JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2007, 26 (07) :1206-1228

[6]

Claussen A, 2017, Q REV ECON FINANC, V64, P183, DOI 10.1016/j.qref.2016.06.007

[7] Forecasting the term structure of government bond yields [J].

Diebold, FX ;

Li, CL .

JOURNAL OF ECONOMETRICS, 2006, 130 (02) :337-364

[8] Efficient tests for an autoregressive unit root [J].

Elliott, G ;

Rothenberg, TJ ;

Stock, JH .

ECONOMETRICA, 1996, 64 (04) :813-836

[9] Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models [J].

Engle, R .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2002, 20 (03) :339-350

[10] On the single name CDS price under structural modeling [J].

Gokgoz, I. H. ;

Ugur, O. ;

Okur, Y. Yolcu .

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2014, 259 :406-412

← 1 2 3 →