Measuring Sovereign Risk: Are CDS Spreads Better than Sovereign Credit Ratings?

被引：25

作者：

Rodriguez, Ivan M. ^{[1
]}

Dandapani, Krishnan ^{[2
]}

Lawrence, Edward R. ^{[2
]}

机构：

[1] Eastern Michigan Univ, Dept Accounting & Finance, Gary M Owen Coll Business, Ypsilanti, MI 48197 USA

[2] Florida Int Univ, Dept Finance, Chapman Grad Sch Business, Miami, FL 33199 USA

来源：

FINANCIAL MANAGEMENT | 2019年 / 48卷 / 01期

关键词：

DEFAULT SWAP SPREADS; TERM STRUCTURE; REGRESSION; TESTS;

D O I：

10.1111/fima.12223

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using data for 54 countries over a 12-year period, we find that the variation in average sovereign ratings in a given year can be explained by average credit default swap (CDS) spreads over the previous three years. In a horse race between CDS spreads and sovereign ratings, we find that CDS spread changes can predict sovereign events, while rating changes cannot. The predictability of CDS spreads is greater when there is disagreement between Moody's and the S&P for a country's rating.

引用

页码：229 / 256

页数：28

共 39 条

[1] Sovereign credit ratings and financial markets linkages: Application to European data [J].