Sovereign credit default swaps and the macroeconomy


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

Related documents:

This repository does not currently have the full-text of this item.
You may be able to access a copy if URLs are provided below. (Contact Author)

Official URL:


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.


Item Type Articles
CreatorsLiu, Y.and Morley, B.
DepartmentsFaculty of Humanities & Social Sciences > Economics
ID Code26486


Actions (login required)

View Item