Short-Term Drivers of Sovereign CDS Spreads

Marcelo Takami

No 475, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper presents large-scale estimated models, one for each country, representing factors driving changes in CDS (Credit Default Swap) spreads of 35 sovereigns. I estimate the models and test their robustness using data from July 2005 to July 2016. The set of eligible explanatory variables comprises indicators of the state of the global economy and of the domestic economic conditions, and proxies for risk premia. I find that not only the S&P 500 variable is pervasive across the countries, but also that the estimated S&P 500 coefficients are higher in magnitude for emerging markets than developed countries.

Date: 2018-04
New Economics Papers: this item is included in nep-ifn
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps475.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:475

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().