 Linkages between Financial Sector CDS Spreads and Macroeconomic Influence in a Nonlinear SettingAmine Lahiani, Shawkat Hammoudeh and Rangan Gupta No 201456, Working Papers from University of Pretoria, Department of Economics Abstract: This paper investigates the asymmetric and nonlinear transmission of financial and energy prices to US five-year financial CDS sector index spreads for the banking, financial services and insurance sectors in the short- and long-run over the recent periods including the world financial crisis. We employ the nonlinear ARDL model (NARDL) to account for the shortand long-run asymmetries in the sensitivity of CDS sector index spreads to their determinants. Our findings suggest that there is evidence of short- and long-run nonlinearities and asymmetries in the adjustment process of the three CDS variables. There are also short- and long run asymmetries in the influences of macroeconomic and financial variables on the CDS sector sreads These findings are important for policy-makers who deal credit risks at sector levels. Keywords: Sector CDS; Financial crisis; Asymmetric adjustments; NARDL model (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201456 Access Statistics for this paper More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.