欧洲案例:主权CDs与股指之间的关系

M. Coronado, M. T. Corzo, L. Lazcano
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引用次数: 44

摘要

2010年,我们目睹了一场重大的欧洲主权债务危机。本文通过考察2007-2010年8个欧洲国家主权信用违约互换与股票指数之间的联系,研究了代表一国信用和市场风险的两个市场的超前-滞后关系。通过使用向量自回归模型和面板数据模型,我们发现股票市场在样本期间起主导作用,但当2010年被隔离时,这种关系出现了变化:主权CDS市场的关键作用-纳入新的信息出现了。这种现象在高风险蔓延的国家最为显著。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A Case for Europe: The Relationship between Sovereign CDs and Stock Indexes
In 2010 we witnessed a major European sovereign debt crisis. By examining the links between sovereign Credit Default Swaps and stock indexes for eight European countries during the period 2007-2010, this paper studies the lead-lag relationships of the two markets which represent a country's credit and market risk. Through the use of a Vector Autoregressive model and a panel data model we find that the stock market plays a leading role during the sample period, but when 2010 is isolated a change in this relationship appears: a key role of sovereign CDS markets – the incorporation of new information emerges. This phenomenon is most significant in countries with high risk spread.
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