The Credit Default Swap market contagion during recent crises: International evidence

Autor: Sabkha, Saker, De Peretti, Christian, Hmaied, Dorra
Přispěvatelé: sabkha, saker, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, Institut des Hautes Etudes Commerciales de Carthage (IHEC)
Jazyk: angličtina
Rok vydání: 2018
Předmět:
Zdroj: Review of Quantitative Finance and Accounting
Review of Quantitative Finance and Accounting, Springer Verlag, 2018
ISSN: 0924-865X
1573-7179
Popis: International audience; This paper analyzes Credit Default Swaps spread dynamic to determine whether the sovereign Credit Default Swap market is subject to contagion effects. Analysis is performed on credit spreads data of 35 worldwide countries belonging to four different economic categories over a period from 2006 until 2014, covering the subprime crisis and the European sovereign debt crisis. A novel approach is proposed to estimate the dynamic conditional correlations between CDS spreads using AR(1)-FIEGARCH(1,d,1)-DCC model. Based on our findings, we put a slant on the financial market vulnerability, reinforced by contagion effects during the different phases of the crises. Furthermore, analysis of each county solely show that contagion effects are sterner during the Eurozone crisis comparing to the global financial crisis and that the level of exposure to crises differs across global markets and regions. Yet, our approach provides evidences that crises spread to countries across the world regardless their economic status or geographical positions.
Databáze: OpenAIRE
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