Long and short-runs determinants of the sovereign CDS spread in emerging countries |
| |
| Affiliation: | 1. LEO-Laboratoire d''Economie d''Orléans, University of Orléans, France;2. Lebow College of Business, Drexel University, Philadelphia, PA, USA;3. IPAG Business School, Paris, France;4. Department of Economics, University of Pretoria, Pretoria 0002, South Africa;1. Institutes of Science and Development, Chinese Academy of Sciences, No.15, Zhongguancun Beiyitiao Haidian District, Beijing 100190, China;2. University of Chinese Academy of Sciences, No.19A Yuquan Road, Beijing 100049, China |
| |
| Abstract: | In this paper, we study the long and short-runs determinants of sovereign CDS spread for eight emerging countries from 2008.Q4 to 2013.Q2. We estimate the spread of sovereign CDS using three macroeconomic determinants: current account, external debt and international reserves. Using the Pooled Mean Group cointegration approach, our findings can be summarized as follows: i, the existence of cointegration between the variables indicated above; ii, the coefficients of the current account, the external debt and international reserves are highly significant to explain the long-run sovereign CDS spread for all countries; iii, international reserves are more important than the current account in order to reduce the sovereign CDS spread in long-run; iv, when allowing for heterogeneous short-run dynamics, the short-run effects are not significant for all countries. |
| |
| Keywords: | Sovereign Credit Default Swaps spread Panel cointegration Pooled Mean Group |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
