Sovereign Risk Analysis Of Developing Countries: Findings From Credit Default Swap Premium Behaviour

Moch. Doddy Ariefianto () and Soenartomo Soepomo ()
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Moch. Doddy Ariefianto: Universitas Ma Chung Malang
Soenartomo Soepomo: Universitas Ma Chung Malang

Bulletin of Monetary Economics and Banking, 2011, vol. 14, issue 1, 31-49

Abstract: This study conducts econometric analysis CDS Premium relations towards variables usually used as a sovereign rating explanatory. Estimation with data panel econometric found that global risk appetite is the most important influencing variable followed by foreign exchange reserve and yield spread. This item is consistent with the existing empiric literature and shows a high correlation between developing countries economy and world economic cycle.

Keywords: Sovereign Risk; Credit Default Swap; Panel Data (search for similar items in EconPapers)
JEL-codes: C23 F32 F34 G13 G15 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:14:y:2011:i:1f:p:31-49

DOI: 10.21098/bemp.v14i1.77

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