Can dual-currency sovereign CDS predict exchange rate returns?

被引：10

作者：

Pu, Xiaoling ^{[1
]}

Zhang, Jianing ^{[2
]}

机构：

[1] Kent State Univ, Dept Finance, Kent, OH 44242 USA

[2] Penn State Univ, Dept Finance, University Pk, PA 16802 USA

来源：

FINANCE RESEARCH LETTERS | 2012年 / 9卷 / 03期

关键词：

Sovereign credit default swap; Exchange rate return; RATE MODELS; FUNDAMENTALS; DEBT; RISK; FIT;

D O I：

10.1016/j.frl.2012.01.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines both the time-series and cross-sectional variation in the difference between US dollar and Euro denominated sovereign CDS spreads for a group of Eurozone countries. We find that the spread difference between dual-currency sovereign CDS significantly affects the bilateral exchange rate returns. In addition, the difference could predict the cumulative exchange rate returns up to 10 days. The results strongly suggest that the difference contains important information for the exchange rate dynamics at various phases of the crisis. (C) 2012 Elsevier Inc. All rights reserved.

引用

页码：157 / 166

页数：10

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