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Sovereign credit default swaps and the macroeconomy


Reference:

Liu, Y. and Morley, B., 2012. Sovereign credit default swaps and the macroeconomy. Applied Economics Letters, 19 (2), pp. 129-132.

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    Official URL:

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

    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.

    Details

    Item Type Articles
    CreatorsLiu, Y.and Morley, B.
    DOI10.1080/13504851.2011.568390
    DepartmentsFaculty of Humanities & Social Sciences > Economics
    RefereedYes
    StatusPublished
    ID Code26486

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