Daily CDS Pricing in Emerging Markets Before and During the Global Financial Crisis

Ingo Fender, B. Hayo, Matthias Neuenkirch
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引用次数: 1

Abstract

In this paper, we study the determinants of daily spreads for emerging market sovereign credit default swaps (CDS) over the period April 2002–December 2011. Using GARCH models, we find, first, that daily CDS spreads for emerging market sovereigns are more related to global and regional risk premia than to country-specific risk factors. This result is particularly evident during the second subsample (August 2007–December 2011), where neither macroeconomic variables nor country ratings significantly explain CDS spread changes. Second, measures of US bond, equity, and CDX High Yield returns as well as emerging market credit returns turn out to be the most dominant drivers of CDS spread changes. Finally, our analysis suggests that CDS spreads are more strongly influenced by international spillover effects during periods of market stress.
全球金融危机前及期间新兴市场每日CDS定价
在本文中,我们研究了2002年4月至2011年12月期间新兴市场主权信用违约掉期(CDS)每日息差的决定因素。使用GARCH模型,我们发现,首先,新兴市场主权的每日CDS价差与全球和区域风险溢价的关系大于与特定国家风险因素的关系。这一结果在第二个子样本(2007年8月至2011年12月)中尤为明显,宏观经济变量和国家评级都无法显著解释CDS息差的变化。其次,美国债券、股票和CDX高收益回报指标,以及新兴市场信贷回报指标,是CDS息差变化的最主要驱动因素。最后,我们的分析表明,在市场压力时期,CDS利差受到国际溢出效应的影响更大。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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