کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5102287 1479850 2017 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Sovereign default risk linkage: Implication for portfolio diversification
ترجمه فارسی عنوان
پیوند ریسک مستقل به طور پیش فرض: اهمیت برای تنوع در نمونه کارها
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
Dynamic conditional correlation, principal components analysis, and impulse response function analysis are employed to examine the interdependence of sovereign credit default swaps (SCDS) in the different emerging market regions of Asia, Europe and Latin America. Using these measures, Asian emerging markets show strong linkage among themselves, both during and after the financial crisis, but less responsive to shocks in European and Latin American regions. Emerging markets in Europe and Latin America have weaker regional bonds than Asian markets. Accordingly, knowledge of the varying correlations, commonality and persistence of shocks existing in intra- and inter-regional markets provides insight for superior portfolio diversification with SCDS.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 41, February 2017, Pages 1-16
نویسندگان
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