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Information transmission between sovereign debt CDS and other financial factors – The case of Latin America

Alan T. Wang, Sheng-Yung Yang () and Nien-Tzu Yang

The North American Journal of Economics and Finance, 2013, vol. 26, issue C, 586-601

Abstract: This paper extends previous research by investigating the intertemporal causality relationships between daily Latin America sovereign credit default swap (CDS) returns and other financial sovereign debt spread determinants. The empirical results indicate that information in sovereign CDS can both lead and lag these financial determinants. Specifically, country financial variables, including exchange rates and lending spreads, and global financial variables including 10-U.S. Treasury yields, VIX and TED spreads, are important determinants for future sovereign CDS price movements. The findings provide investment implications for international financial markets.

Keywords: Sovereign debt; CDS; VIX; TED; VECM (search for similar items in EconPapers)
JEL-codes: F30 F40 G11 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:26:y:2013:i:c:p:586-601

DOI: 10.1016/j.najef.2013.02.023

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