Time-varying Co-movements and Contagion Effects in Asian Sovereign CDS Markets
1
조회
0
다운로드
3
인용
0
참고문헌
키워드
초록
We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in Asian sovereign CDS markets; that such co-movements tend to be larger between developing countries than between developed and developing countries; and that in the comovements intra-regional nature is stronger than inter-regional nature. With the Spillover Index model, we measure contagion probabilities of sovereign default risk in CDS markets of seven Asian countries and find evidence of contagion effects among six of them; Japan is the exception. In addition, we find that these six countries are affected more by cross-market spillovers than by their own-market spillovers. Furthermore, a rolling-sample analysis reveals that contagion in the Asian sovereign CDS markets expands during episodes of extreme economic and financial distress, such as the Lehman Brothers bankruptcy, the European financial crisis, and the US-credit downgrade
Abstract
We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in Asian sovereign CDS markets; that such co-movements tend to be larger between developing countries than between developed and developing countries; and that in the comovements intra-regional nature is stronger than inter-regional nature. With the Spillover Index model, we measure contagion probabilities of sovereign default risk in CDS markets of seven Asian countries and find evidence of contagion effects among six of them; Japan is the exception. In addition, we find that these six countries are affected more by cross-market spillovers than by their own-market spillovers. Furthermore, a rolling-sample analysis reveals that contagion in the Asian sovereign CDS markets expands during episodes of extreme economic and financial distress, such as the Lehman Brothers bankruptcy, the European financial crisis, and the US-credit downgrade
참고문헌 (29)
- Aielli, G. P, "Dynamic Conditional Correlations: On Properties and Estimation", Journal of Business and Economic Statistics, 31(3), pp.282~299 (2013)
- Alexander, C, "Regime Dependent Determinants of Credit Default Swap Spreads", Journal of Banking and Finance, 32(6), pp.1008~1021 (2008)
- Sovereign CDS and Bond Pricing Dynamics in Emerging Markets: Does the Cheapest-to-deliver Option Matter?, "Ammer, J", Board of Governors of the Federal Reserve System, ~, pp.International Finance Discussion Paper, no. 912 (2007)
- Ang, A, "International Asset Allocation with Regime Shifts", Review of Financial Economics, 15(4), pp.1137~1187 (2002)
- Antonakakis, N, "Exchange Return Co-movements and Volatility Spillovers before and after the Introduction of Euro", Journal of International Financial Markets, Institutions and Money, 22(5), pp.1091~1109 (2012)
- Blanco, R, "An Empirical Analysis of the Dynamic Relation between Investment-grade Bonds and Credit Default Swaps", Journal of Finance, 60(5), pp.2255~2281 (2005)
- Bollerslev, T, "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model", Review of Economics and Statistics, 72(3), pp.498~505 (1990)
- Diebold, F. X, "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets", Economic Journal, 119(534), pp.158~171 (2009)
- Diebold, F. X, "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers", International Journal of Forecasting, 28(1), pp.57~66 (2012)
- Duffie, D, "Credit Swap Valuation", Financial Analysts Journal, 55(1), pp.73~87 (1999)
- Elton, E. J, "Explaining the Rate Spread on Corporate Bonds", Journal of Finance, 56(1), pp.247~277 (2001)
- Engle, R, "Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models", Journal of Business and Economic Statistics, 20(3), pp.339~350 (2002)
- Fonseca, J. D, "A Joint Analysis of the Term Structure of Credit Default Swap Spreads and Implied Volatility Surface", Journal of Futures Markets, 33(6), pp.494~517 (2013)
- Contagion and Trade: Why are Currency Crises Regional, "Glick, R", CEPR, 1947~, pp.CEPR Discussion Papers, no. 1947 (1998)
- Gorton, G. B, "Bank Credit Cycles", Review of Economic Studies, 75(4), pp.1181~1214 (2008)
- Sovereign Default Swap Market Efficiency and Country Risk in the Eurozone, "Gündüz, Y", Deutsche Bundesbank, ~, pp.Discussion Paper, no. 08 (2013), 2013
- How much of the Corporate-treasury Yield Spread is Due to Credit Risk?, "Huang, J. Z", Pennsylvania State University, ~ (2003)
- Hull, J, "The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements", Journal of Banking and Finance, 28(11), pp.2789~2811 (2004)
- Kearney, C, "Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System", The Financial Review, 35(1), pp.29~48 (2000)
- Kolb, R. W, "Financial Contagion: The Viral Threat to the Wealth of Nations" (2011), John Wiley & Sons, Inc
- Koopa, G, "Impulse Response Analysis in Nonlinear Multivariate Models", Journal of Econometrics, 74(1), pp.119~147 (1996)
- Longstaff, F, "Corporate Yield Spreads: Default Risk or Liquidity? New Eevidence from the Credit Default Swap Market", Journal of Finance, 60(5), pp.2213~2253 (2005)
- Lown, C, "The Credit Cycle and the Business Cycle: New Findings Using the Loan Officer Opinion Survey", Journal of Money, Credit and Banking, 38(6), pp.1575~1597 (2006)
- Pesaran, M. H, "Generalized Impulse Response Analysis in Linear Multivariate Models", Economics Letters, 58(1), pp.17~29 (1998)
- The Complete Picture of Credit Default Swap Spreads-A Quantile Regression Approach, "Pires, P", ISCTE Business School, ~ (2009)
- Tse, Y. K, "A Multivariate Generalized Autoregressive Conditional Heteroskedasticity Model with Time-varying Correlation", Journal of Business and Economic Statistics, 20(3), pp.351~362 (2002)
- International Business Cycle Spillovers, "Yilmaz, K", Tusiad-Koc University Economic Research Forum, 0903~, pp.Tusiad-Koc University Economic Research Forum, Working Papers, no. 0903 (2009)
- Zhang, B. Y, "Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms", Review of Financial Studies, 22(12), pp.5099~5131 (2009)
- Zhu, H, "An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market", Journal of Financial Services Research, 29(3), pp.211~235 (2006)