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: 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)
Date: 2013
Note: Special Issue30th Symposium on Money, Banking and FinanceGuest editors: Christian Aubin, Noëlle Duport andDaniel Goyeau
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