The sensitivity of credit default swap premium to global risk factor: Evidence from emerging markets

Oguzhan Cepni, Doruk Kucuksarac and M. Hasan Yilmaz

Economics Letters, 2017, vol. 159, issue C, 74-77

Abstract: We use fixed effects panel regressions to identify the macroeconomic factors driving the heterogeneity in the sensitivity of credit default swap (CDS) premium to changes in the global risk factor across emerging markets. The panel regression results indicate that countries with lower government debt and higher reserves tend to be less subject to the variations in the global risk appetite.

Keywords: Emerging market; CDS; Global risk appetite; Fixed effect panel regression (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:159:y:2017:i:c:p:74-77

DOI: 10.1016/j.econlet.2017.07.020

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