کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5047692 1476277 2013 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Determinants and price discovery of China sovereign credit default swaps
ترجمه فارسی عنوان
تعیین کننده و قیمت کشف معامله پیش بینی اعتباری چین به طور پیش فرض
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

We study the determinants of levels and changes of sovereign credit default swap (CDS) spreads in China from January 2001 to December 2010. Both country-specific factors (such as the China stock market index and the real interest rate) and global factors (the U.S. S&P 500 stock option volatilities and default spreads, and the non-North America global stock market factor) have significant explanatory power on CDS spreads in terms of both levels and changes. China's domestic economic factors were more relevant in explaining the CDS spread levels and changes in the earlier years, while the impact of global factors has become increasingly important in recent years, particularly during the global crisis. Within a vector autoregressive (VAR) model controlling for exogenous variables, we find that China sovereign CDS spread changes lead stock returns.

► We study the determinants of levels and changes of sovereign CDS spreads in China. ► Domestic and global economic factors were important in explaining the CDS spreads. ► China sovereign CDS spread changes lead stock returns within a VAR framework.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: China Economic Review - Volume 24, March 2013, Pages 1-15
نویسندگان
, , ,