کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7355543 1477894 2018 44 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries
چکیده انگلیسی
We investigate the time-varying dependence structures between G7 and BRICS countries' sovereign credit default swap (CDS) spreads for different timescales by combining wavelet analysis and the copula approach. First, by employing wavelet analysis, we find increasing dependence between the G7 and BRICS's CDS spreads with a decreasing significance level as the timescale increases. Second, the CDS spread dependence across most timescales is better described by the time-varying, than the time-invariant, copulas. Third, gold served as a risk-haven asset may play a good indicator to measure the sovereign credit risk, as well as its dependence. Additionally, the CDS spreads for both G7 and BRICS countries behave simultaneously when the economy is prosperous, but not for the economic depression period. Finally, from the regression of the wavelet components, we find no significant results for the short-term wavelets, whereas significant results are present for both the middle- and long-term scales.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 59, October 2018, Pages 19-34
نویسندگان
, , ,