不同期限的主权信用违约掉期波动建模：拉丁美洲国家的应用

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Borsa Istanbul Review Pub Date : 2024-07-01 DOI:10.1016/j.bir.2024.04.008

Fredy Gamboa-Estrada , José Vicente Romero

{"title":"不同期限的主权信用违约掉期波动建模：拉丁美洲国家的应用","authors":"Fredy Gamboa-Estrada , José Vicente Romero","doi":"10.1016/j.bir.2024.04.008","DOIUrl":null,"url":null,"abstract":"<div><p>Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for macroeconomic policymakers and market practitioners. This study analyzes the main determinants of sovereign credit default swaps (SCDS) in Latin America at different tenures, focusing on their volatility. Using a component generalized autoregressive conditional heteroskedasticity model, it decomposes volatility into permanent and transitory components. It finds that the permanent component of SCDS volatility in all tenures was higher and more persistent during the Global Financial Crisis than during the recent coronavirus shock.</p></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 4","pages":"Pages 772-786"},"PeriodicalIF":6.3000,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214845024000619/pdfft?md5=45623d4c54ed492a7b96d654325890f6&pid=1-s2.0-S2214845024000619-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Modeling sovereign credit default swaps volatility at different tenures: An application for Latin American countries\",\"authors\":\"Fredy Gamboa-Estrada , José Vicente Romero\",\"doi\":\"10.1016/j.bir.2024.04.008\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for macroeconomic policymakers and market practitioners. This study analyzes the main determinants of sovereign credit default swaps (SCDS) in Latin America at different tenures, focusing on their volatility. Using a component generalized autoregressive conditional heteroskedasticity model, it decomposes volatility into permanent and transitory components. It finds that the permanent component of SCDS volatility in all tenures was higher and more persistent during the Global Financial Crisis than during the recent coronavirus shock.</p></div>\",\"PeriodicalId\":46690,\"journal\":{\"name\":\"Borsa Istanbul Review\",\"volume\":\"24 4\",\"pages\":\"Pages 772-786\"},\"PeriodicalIF\":6.3000,\"publicationDate\":\"2024-07-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S2214845024000619/pdfft?md5=45623d4c54ed492a7b96d654325890f6&pid=1-s2.0-S2214845024000619-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Borsa Istanbul Review\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2214845024000619\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Borsa Istanbul Review","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2214845024000619","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

评估风险溢价措施的动态及其与宏观经济基本面的关系对于宏观经济决策者和市场从业者来说至关重要。本研究分析了拉丁美洲不同期限主权信用违约掉期（SCDS）的主要决定因素，重点关注其波动性。研究采用广义自回归条件异方差模型，将波动性分解为永久性和暂时性两部分。研究发现，与最近的冠状病毒冲击相比，全球金融危机期间所有期限的 SCDS 波动的永久性成分更高，持续性更强。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Modeling sovereign credit default swaps volatility at different tenures: An application for Latin American countries

Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for macroeconomic policymakers and market practitioners. This study analyzes the main determinants of sovereign credit default swaps (SCDS) in Latin America at different tenures, focusing on their volatility. Using a component generalized autoregressive conditional heteroskedasticity model, it decomposes volatility into permanent and transitory components. It finds that the permanent component of SCDS volatility in all tenures was higher and more persistent during the Global Financial Crisis than during the recent coronavirus shock.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Borsa Istanbul Review Multiple-

CiteScore

7.60

自引率

3.80%

发文量

130

审稿时长

26 days

期刊介绍： Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations