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
SN - 1350-4851
VL - 19
SP - 129
EP - 132
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 2
ER -