US macroeconomic surprises and the emerging-market sovereign CDS market |
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Authors: | Junmao Chiu Wei-Che Tsai Chi Yin |
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Affiliation: | Department of Finance, National Sun Yat-sen University, Kaohsiung, Taiwan |
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Abstract: | Our primary aim is to examine whether US macroeconomic surprises affect the slope of the term structure of ‘sovereign credit default swap’ (SCDS) spreads in emerging markets. Our empirical results show that positive (negative) US macroeconomic surprises are likely to reduce (increase) the term structure slope of SCDS spreads in emerging countries. We find that the slope values in emerging markets are positively related to future market returns over 1- and 2-day horizons. Our results provide general support for the future informational role played by SCDS spreads for the national stock market within emerging markets. |
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Keywords: | emerging markets sovereign credit default swaps spillover effects |
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