The Drivers of Sovereign CDS Spread Changes: Local Versus Global Factors |
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Authors: | Ann Marie Hibbert Ivelina Pavlova |
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Institution: | 1. West Virginia University;2. University of Houston‐Clear Lake |
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Abstract: | We use daily data for a panel of 34 countries to investigate regional differences in sovereign credit default swaps (CDS) spread determinants and the significance of local versus global market factors. Similar to prior studies, we find a high level of commonality among CDS spreads, but our results show that this effect is stronger in Latin American CDS. The results of our quantile panel regression model show that although global forces drive spreads across the conditional distribution, changes in credit ratings are significant in explaining CDS spreads only in the upper quantiles. We also confirm the existence of regional differences in spread determinants. |
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Keywords: | sovereign CDS CDS spread determinants quantile panel regression G15 G23 H63 C23 |
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