The sensitivity of credit default swap premium to global risk factor: Evidence from emerging markets

•Global risk factor leads sovereign CDS premiums to widen and narrow together.•The sensitivities of changes in the risk premium to the global risk factor varies across countries.•Countries with lower government debt and higher FX reserves are less subject to global risk appetite.

We use fixed effects panel regressions to identify the macroeconomic factors driving the heterogeneity in the sensitivity of credit default swap (CDS) premium to changes in the global risk factor across emerging markets. The panel regression results indicate that countries with lower government debt and higher reserves tend to be less subject to the variations in the global risk appetite.