商品依赖：在缺乏经济指标的情况下，提供新兴市场CDS价差的信息

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2025-05-12 DOI:10.1016/j.ememar.2025.101299

Beyza Mina Ordu-Akkaya , Süheyla Özyıldırım

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引用次数: 0

摘要

鉴于大宗商品在经济的可持续性中发挥着重要作用，我们通过主权CDS利差来研究大宗商品依赖在经济基本面中的作用。我们在分析中使用了17种大宗商品和16个新兴国家。结果显示，大宗商品会对新兴市场CDS价差产生溢出效应，其中影响最大的大宗商品是铜。因此，我们检查了铜和铜的风险措施在CDS价差中的作用，我们看到铜的方差在解释CDS价差方面是显著的，但是当局部和全球因素包括在模型中时，这种显著性就消失了。

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Commodity dependence: Providing information on emerging market CDS spreads when economic indicators are absent

Given that commodities play a significant role in the sustainability of economies, we investigate the role of commodity dependence in the economic fundamentals through sovereign CDS spreads. We employ 17 commodities and 16 emerging countries in our analysis. Results show commodities spill information over emerging market CDS spreads and the most influential commodity is copper. Hence, we check for the role of copper and risk measures of copper in CDS spreads and we see that the variance of copper is significant in explaining CDS spreads, however when local and global factors are included in the model, the significance vanishes.

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.