Do CDS Spreads and Inflation Move Together? The Experience of the Fragile Five Countries and the BRICS-T

IF 0.9 Q3 ECONOMICS

Scientific Annals of Economics and Business Pub Date : 2021-05-24 DOI:10.47743/SAEB-2021-0009

Sinan Ayteki̇n, Nida Abdioğlu

引用次数: 0

Abstract

International investors wish to measure the sovereign risk premiums of the countries they want to invest in. Credit Default Swap Spread (CDS), which also shows the credit risks, is one of the important proxies that measure the country risk. Increased CDS spreads increase the cost of borrowing of countries and therefore the factors affecting the CDS spreads should be determined correctly. From this point of view, this study investigates the factors that have impacts on CDS spread ratios of BRICS-T and Fragile Five countries. According to panel regression results, exchange rate, inflation rate, unemployment rate and VIX positively affect CDS spreads. However, Industry Production Index, GDP growth and S&P 500 Index level negatively affect CDS spreads. These results are accurate both for BRICS-T and Fragile Five countries. We also find that Industry production index, GDP growth rate and unemployment rate are the significant determinants of inflation for both BRICS-T countries and Fragile Five countries.

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CDS价差与通货膨胀同步波动吗?脆弱五国与金砖国家合作的经验

国际投资者希望衡量他们想要投资的国家的主权风险溢价。信用违约掉期利差（CDS）也是衡量国家风险的重要指标之一，它也显示了信用风险。CDS利差的增加增加了各国的借贷成本，因此应正确确定影响CDS利差的因素。从这个角度出发，本研究考察了影响金砖四国和脆弱五国CDS利差比率的因素。根据面板回归结果，汇率、通货膨胀率、失业率和波动率指数对CDS利差有正向影响。然而，工业生产指数、GDP增长和标准普尔500指数水平对CDS利差产生负面影响。这些结果对金砖四国和脆弱五国都是准确的。我们还发现，工业生产指数、GDP增长率和失业率是金砖四国和脆弱五国通货膨胀的重要决定因素。

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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来源期刊

Scientific Annals of Economics and Business ECONOMICS-

CiteScore

1.40

自引率

0.00%

发文量

审稿时长

10 weeks

期刊介绍： The Journal called Scientific Annals of Economics and Business (formerly Analele ştiinţifice ale Universităţii "Al.I. Cuza" din Iaşi. Ştiinţe economice / Scientific Annals of the Alexandru Ioan Cuza University of Iasi. Economic Sciences), was first published in 1954. It is published under the care of the Alexandru Ioan Cuza University, the oldest higher education institution in Romania, a place of excellence and innovation in education and research since 1860. Throughout its editorial life, the journal has been continuously improving. Renowned professors, well-known in the country and abroad, have published in this journal. The quality of the published materials is ensured both through their review by external reviewers of the institution and by the editorial staff that includes professors for each area of interest. The journal published papers in the following main sections: Accounting; Finance, Money and Banking; Management, Marketing and Communication; Microeconomics and Macroeconomics; Statistics and Econometrics; The Society of Knowledge and Business Information Systems.