Sovereign credit default swaps and the macroeconomy

Yang Liu, Bruce Morley

Research output: Contribution to journalArticle

3 Citations (Scopus)
102 Downloads (Pure)

Abstract

The aim of this study is to determine whether the domestic economy as represented by the interest rate, the international economic status as represented by the exchange rate, or both determine sovereign credit default swap (CDS) spreads. Using a VAR and Granger non-causality tests, the results suggest that it is the exchange rate that has the most important effect on sovereign CDS spreads, with domestic interest rates having only a limited effect. There is also some evidence of causality running from the CDS spread to the exchange rate.
Original languageEnglish
Pages (from-to)129-132
Number of pages4
JournalApplied Economics Letters
Volume19
Issue number2
Early online date5 Jun 2011
DOIs
Publication statusPublished - 2012

Fingerprint

Exchange rates
Credit default swaps
Credit default swap (CDS) spreads
Macroeconomy
Interest rates
Causality
International economics
Granger non-causality

Cite this

Sovereign credit default swaps and the macroeconomy. / Liu, Yang; Morley, Bruce.

In: Applied Economics Letters, Vol. 19, No. 2, 2012, p. 129-132.

Research output: Contribution to journalArticle

@article{7493802f1cb646529544dd17735a88d8,
title = "Sovereign credit default swaps and the macroeconomy",
abstract = "The aim of this study is to determine whether the domestic economy as represented by the interest rate, the international economic status as represented by the exchange rate, or both determine sovereign credit default swap (CDS) spreads. Using a VAR and Granger non-causality tests, the results suggest that it is the exchange rate that has the most important effect on sovereign CDS spreads, with domestic interest rates having only a limited effect. There is also some evidence of causality running from the CDS spread to the exchange rate.",
author = "Yang Liu and Bruce Morley",
year = "2012",
doi = "10.1080/13504851.2011.568390",
language = "English",
volume = "19",
pages = "129--132",
journal = "Applied Economics Letters",
issn = "1350-4851",
publisher = "Taylor and Francis",
number = "2",

}

TY - JOUR

T1 - Sovereign credit default swaps and the macroeconomy

AU - Liu, Yang

AU - Morley, Bruce

PY - 2012

Y1 - 2012

N2 - The aim of this study is to determine whether the domestic economy as represented by the interest rate, the international economic status as represented by the exchange rate, or both determine sovereign credit default swap (CDS) spreads. Using a VAR and Granger non-causality tests, the results suggest that it is the exchange rate that has the most important effect on sovereign CDS spreads, with domestic interest rates having only a limited effect. There is also some evidence of causality running from the CDS spread to the exchange rate.

AB - The aim of this study is to determine whether the domestic economy as represented by the interest rate, the international economic status as represented by the exchange rate, or both determine sovereign credit default swap (CDS) spreads. Using a VAR and Granger non-causality tests, the results suggest that it is the exchange rate that has the most important effect on sovereign CDS spreads, with domestic interest rates having only a limited effect. There is also some evidence of causality running from the CDS spread to the exchange rate.

UR - http://www.scopus.com/inward/record.url?scp=80051824702&partnerID=8YFLogxK

UR - http://dx.doi.org/10.1080/13504851.2011.568390

U2 - 10.1080/13504851.2011.568390

DO - 10.1080/13504851.2011.568390

M3 - Article

VL - 19

SP - 129

EP - 132

JO - Applied Economics Letters

JF - Applied Economics Letters

SN - 1350-4851

IS - 2

ER -