从波动到稳定:理解宏观经济因素在主权 CDS 利差中的作用

IF 2.5 Q2 ECONOMICS
Huthaifa Sameeh Alqaralleh
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引用次数: 0

摘要

本文通过研究主权信用违约掉期(CDS)利差对宏观经济因素的反应,探讨极值依赖性及其与经济周期的关系,从而加深对主权信用违约掉期市场的理解。研究侧重于 2009 年至 2023 年亚太地区主权 CDS 市场中的四个新兴国家,并利用动态量子自回归分布滞后(QARDL)方法来解释统计风格化事实。研究结果表明,经济增长、通货膨胀、波动率指数(VIX)、利率和实际有效汇率与 CDS 利差之间存在重大关系,不同的量级和国家会产生不同的影响。此外,研究还探讨了经济扩张和收缩对 CDS 利差的影响,强调了某些国家经济扩张的显著负面影响和收缩阶段的正面影响。这些研究结果为政策制定者的风险管理和政策决策提供了有价值的见解,强调需要制定促进可持续增长的政策;在动荡时期管理市场风险,并考虑利率、汇率和经济阶段对金融稳定的影响。对所使用的实证模型进行了动态稳定性评估,并根据研究成果讨论了政策影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
From volatility to stability: understanding the role of macroeconomic factors in sovereign CDS spreads

This paper contributes to the understanding of sovereign credit default swap (CDS) markets by examining the response of CDS spreads to macroeconomic factors and exploring extreme value dependence and its relation to economic cycles. The study focuses on four emerging countries in the Asia–Pacific sovereign CDS markets from 2009 to 2023 and utilises a dynamic quantile autoregressive distributed lag (QARDL) approach to account for statistical stylized facts. The findings reveal significant relationships between economic growth, inflation, volatility index (VIX), interest rates and real effective exchange rate on CDS spreads, with varying effects across quantiles and countries. Additionally, the study explores the impact of economic expansion and contraction on CDS spreads, highlighting the significant negative effects of the expansion in certain countries and the positive impacts of contraction phases. These findings provide valuable insights for policymakers in risk management and policy decision-making, emphasizing the need for policies that promote sustainable growth; manage market risks during volatile periods and consider the implications of interest rates, exchange rates and economic phases on financial stability. The empirical model used is evaluated for dynamic stability, and policy implications are discussed in light of the research outcomes.

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来源期刊
CiteScore
6.00
自引率
2.90%
发文量
24
期刊介绍: The mission of Eurasian Economic Review is to publish peer-reviewed empirical research papers that test, extend, or build theory and contribute to practice. All empirical methods - including, but not limited to, qualitative, quantitative, field, laboratory, and any combination of methods - are welcome. Empirical, theoretical and methodological articles from all fields of finance and applied macroeconomics are featured in the journal. Theoretical and/or review articles that integrate existing bodies of research and that provide new insights into the field are highly encouraged. The journal has a broad scope, addressing such issues as: financial systems and regulation, corporate and start-up finance, macro and sustainable finance, finance and innovation, consumer finance, public policies on financial markets within local, regional, national and international contexts, money and banking, and the interface of labor and financial economics. The macroeconomics coverage includes topics from monetary economics, labor economics, international economics and development economics. Eurasian Economic Review is published quarterly. To be published in Eurasian Economic Review, a manuscript must make strong empirical and/or theoretical contributions and highlight the significance of those contributions to our field. Consequently, preference is given to submissions that test, extend, or build strong theoretical frameworks while empirically examining issues with high importance for theory and practice. Eurasian Economic Review is not tied to any national context. Although it focuses on Europe and Asia, all papers from related fields on any region or country are highly encouraged. Single country studies, cross-country or regional studies can be submitted.
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