The causal linkages between sovereign CDS prices for the BRICS and major European economies

Mikhail Stolbov

Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2014, vol. 8, No 2014-26, 43 pages

Abstract: The article examines causal relationships between sovereign credit default swaps (CDS) prices for the BRICS and most important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function (CCF) approach that distinguishes between causality-in-mean and causality-in-variance and the Breitung-Candelon causality test in the frequency domain are used in the research. Both tests reveal limited dependence of the BRICS CDS (especially, in the case of Brazil, China and South Africa) on the EU CDS prices. Thus, the paper underscores the signs of decoupling in the sovereign CDS market and also supports the view that the European debt crisis has so far had a limited non-EU impact in this market.

Keywords: BRICS; sovereign credit default swaps (CDS); causality-in-mean; causality-invariance; decoupling; European debt crisis; Breitung-Candelon test (search for similar items in EconPapers)
JEL-codes: C50 G10 G15 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Working Paper: The causal linkages between sovereign CDS prices for the BRICS and major European economies (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifweej:201426

DOI: 10.5018/economics-ejournal.ja.2014-26

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