Long and short-runs determinants of the sovereign CDS spread in emerging countries

Sy-Hoa Ho

Research in International Business and Finance, 2016, vol. 36, issue C, 579-590

Abstract: In this paper, we study the long and short-runs determinants of sovereign CDS spread for eight emerging countries from 2008.Q4 to 2013.Q2. We estimate the spread of sovereign CDS using three macroeconomic determinants: current account, external debt and international reserves. Using the Pooled Mean Group cointegration approach, our findings can be summarized as follows: i, the existence of cointegration between the variables indicated above; ii, the coefficients of the current account, the external debt and international reserves are highly significant to explain the long-run sovereign CDS spread for all countries; iii, international reserves are more important than the current account in order to reduce the sovereign CDS spread in long-run; iv, when allowing for heterogeneous short-run dynamics, the short-run effects are not significant for all countries.

Keywords: Sovereign Credit Default Swaps spread; Panel cointegration; Pooled Mean Group (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:36:y:2016:i:c:p:579-590

DOI: 10.1016/j.ribaf.2015.07.001

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