SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR
Keywords:
Sovereign Risk, Credit Default Swap, Panel Data
Abstract
This study conducts econometric analysis CDS Premium relations towards variables usually used as a sovereign rating explanatory. Estimation with data panel econometric found that global risk appetite is the most important influencing variable followed by foreign exchange reserve and yield spread. This item is consistent with the existing empiric literature and shows a high correlation between developing countries economy and world economic cycle.
Downloads
Download data is not yet available.
References
Bank for International Settlement, Triennial Quarterly Survey, Derivative Market, September 2010.
Bannier, C.E., and Hirsch, C.W., 2010, "The economic function of credit rating agencies What does the watch list tell us?" Journal of Banking and Finance, Vol. 34, page. 3037-3049.
Beers, D.T and M. Cavanaugh, 2006, Sovereign Credit Ratings: A Primer, 2006, Standard & Poor's Research.
Cameroon, A.C., and Triverdi., P. K., 2005, Micro econometrics: Methods and Applications, Cambridge, New York.
Cantor, R., 2004, "An Introduction to recent research on credit ratings", Journal of Banking and Finance, Vol 28, page. 2565-2573.
Carr, P., and Wu, L., 2007,"Theory and evidence on the dynamic interactions between sovereign credit swaps and currency option", Vol. 31, page 2383-2403.
Hull, J.C., 2011, Fundamentals Of Futures and Options Market., 7th Edition, Pearson.
Ismailescu, I and Kazemi, H., 2010, "The reaction of emerging market credit default swap spreads to sovereign credit rating changes", Journal of International Banking & Finance, Vol. 34, page 2861-2873.
Matsumura, M.S. and Vicente, J.V.M, 2010, The role of macroeconomic variables in sovereign risk, Emerging Markets Review, 11, page 229-249.
Nomura, Fixed Income Research Team, Credit Default Swap Primer, May 2004.
Skinner, F.S and Townend, T.G., 2002, "An empirical analysis of credit default swaps", International Review of Financial Analysis, Vol. 11, page. 297-309.
Weigel, D.D. and Gemmill, G., 2006, "What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements", Journal of International Money and Finance, 25, page 476-502.
Whetten, M., Adelson M., and Van Bemmelen, 2004,Credit Default Swap: A Primer Nomura Fixed Income Research.
Bannier, C.E., and Hirsch, C.W., 2010, "The economic function of credit rating agencies What does the watch list tell us?" Journal of Banking and Finance, Vol. 34, page. 3037-3049.
Beers, D.T and M. Cavanaugh, 2006, Sovereign Credit Ratings: A Primer, 2006, Standard & Poor's Research.
Cameroon, A.C., and Triverdi., P. K., 2005, Micro econometrics: Methods and Applications, Cambridge, New York.
Cantor, R., 2004, "An Introduction to recent research on credit ratings", Journal of Banking and Finance, Vol 28, page. 2565-2573.
Carr, P., and Wu, L., 2007,"Theory and evidence on the dynamic interactions between sovereign credit swaps and currency option", Vol. 31, page 2383-2403.
Hull, J.C., 2011, Fundamentals Of Futures and Options Market., 7th Edition, Pearson.
Ismailescu, I and Kazemi, H., 2010, "The reaction of emerging market credit default swap spreads to sovereign credit rating changes", Journal of International Banking & Finance, Vol. 34, page 2861-2873.
Matsumura, M.S. and Vicente, J.V.M, 2010, The role of macroeconomic variables in sovereign risk, Emerging Markets Review, 11, page 229-249.
Nomura, Fixed Income Research Team, Credit Default Swap Primer, May 2004.
Skinner, F.S and Townend, T.G., 2002, "An empirical analysis of credit default swaps", International Review of Financial Analysis, Vol. 11, page. 297-309.
Weigel, D.D. and Gemmill, G., 2006, "What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements", Journal of International Money and Finance, 25, page 476-502.
Whetten, M., Adelson M., and Van Bemmelen, 2004,Credit Default Swap: A Primer Nomura Fixed Income Research.
Published
2011-12-07
How to Cite
Ariefianto, M., & Soepomo, S. (2011). SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR. Buletin Ekonomi Moneter Dan Perbankan, 14(1), 31-49. https://doi.org/10.21098/bemp.v14i1.77
Issue
Section
Articles
Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
