کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
980409 | 1480458 | 2011 | 11 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Asymmetric convergence in US financial credit default swap sector index markets Asymmetric convergence in US financial credit default swap sector index markets](/preview/png/980409.png)
This study examines the asymmetric adjustments to the long-run equilibrium for credit default swap (CDS) sector indexes of three financial sectors – banking, financial services and insurance – in the presence of a threshold effect. The results of the momentum-threshold autoregression (M-TAR) models demonstrate that asymmetric cointegration exists for all pairs comprised of those three CDS indexes. The speeds of adjustment in the long-run are much higher in the case of adjustments from below the threshold than from above for all the pairs. The estimates of The MTAR-VEC models suggest that the dual CDS index return in each sector pair participates in the adjustment to equilibrium in the short- and long-run taken together. But in the long-run alone, only one of the two spreads in each pair participates. Policy implications are also provided.
Journal: The Quarterly Review of Economics and Finance - Volume 51, Issue 4, November 2011, Pages 408–418