SOVEREIGN CREDIT RATINGS, THE MACROECONOMY AND CREDIT DEFAULT SWAP SPREADS
Yang Liu and
Bruce Morley ()
Brussels Economic Review, 2013, vol. 56, issue 3-4, 335-348
ABSTRACT:The aim of this study is to determine the main factors affecting sovereign credit default swap(CDS) spreads, with particular emphasis on the relationship between the credit rating scores andthe CDS spreads. Other macroeconomic affects are also included in the estimation which usespanel data from the main EU countries, USA and Japan. The results indicate there is littleevidence to show any relationship between the credit ratings and the sovereign CDS spreads,and the main drivers of sovereign CDS spreads are macroeconomic fundamentals which reflectthe ‘health’ of the economy.
Keywords: Sovereign credit default swap spread; macroeconomy; credit rating; risk (search for similar items in EconPapers)
Note: Special Issue30th Symposium on Money, Banking and FinanceGuest editors: Christian Aubin, Noëlle Duport andDaniel Goyeau
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/174860/1/ARTICLELIUMORLEY.pdf ARTICLELIUMORLEY (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bxr:bxrceb:2013/174860
Ordering information: This journal article can be ordered from
http://hdl.handle.ne ... lb.ac.be:2013/174860
Access Statistics for this article
More articles in Brussels Economic Review from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().