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|標題:||Information transmission between sovereigndebt CDS and other financial factors – The caseof Latin America||關鍵字:||Sovereign debt;CDS;VIX;TED;VECM||Project:||North American Journal of Economics and Finance, Volune 26, Page(s) 586-601.||摘要:||
tThis paper extends previous research by investigating the intertem-poral causality relationships between daily Latin America sovereigncredit default swap (CDS) returns and other financial sovereigndebt spread determinants. The empirical results indicate that infor-mation in sovereign CDS can both lead and lag these financialdeterminants. Specifically, country financial variables, includingexchange rates and lending spreads, and global financial variablesincluding 10-U.S. Treasury yields, VIX and TED spreads, are impor-tant determinants for future sovereign CDS price movements. Thefindings provide investment implications for international financialmarkets.
|Appears in Collections:||財務金融學系所|
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