Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods
Samira Haddou
The North American Journal of Economics and Finance, 2024, vol. 71, issue C
Abstract:
The objective of this paper is twofold. First, it aims to investigate the nexus between sovereign CDS spreads and its drivers, including behavioral drivers, during the different states of the CDS market activity (bullish, bearish and normal). Second, it purposes to explore the heterogeneity in the response of CDS spreads through episodes of calm and turmoil. To this end, we utilize a rich data set on a sample of 12 European countries split into core and peripheral countries over the period ranging from 2007 January to 2022 January, that we split into three main periods, namely the debt period, the COVID-19 period and tranquil period, and employ the Quantile Panel Regression methodology. We find that while both country-specific and global risk factors play a significant role in shaping the dynamics of CDS spreads, their effects are spatially heterogenous and asymmetric depending on the CDS market state (bullish, bearish and normal). Additionally, the local investor sentiment is found to be an important factor shaping CDS spreads during crisis episodes. Our findings are robust and have many interesting policy implications.
Keywords: Sovereign CDS; Quantile panel regression; COVID-19; Debt; Crisis (search for similar items in EconPapers)
JEL-codes: C23 E43 E44 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940824000111
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000111
DOI: 10.1016/j.najef.2024.102087
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().