Arbeitspapier
Cross-border credit derivatives linkages
This paper is a first attempt to include credit derivatives in international macrofinancial analysis. We document that gross credit derivatives holdings map to bilateral portfolio investment linkages. On a net basis, our results suggest an asymmetry between sectors and between net buyers and net sellers of CDSs. When a banking system is a net buyer of protection, the protection purchased is proportional to the debt securities held. Conversely, when a banking system is a net seller, the protection sold is proportional to the securities held. For investment funds, we find no aggregate relation between net CDSs and the debt securities held.
- Sprache
-
Englisch
- ISBN
-
978-92-899-4618-6
- Erschienen in
-
Series: ESRB Working Paper Series ; No. 115
Klassifikation
Wirtschaft
International Lending and Debt Problems
International Investment; Long-term Capital Movements
International Lending and Debt Problems
International Investment; Long-term Capital Movements
Thema
Cross-border positions
Risk transfer
CDS
EMIR data
Risk transfer
CDS
EMIR data
Ereignis
Geistige Schöpfung
(wer)
Bianch, Benedetta
Ereignis
Veröffentlichung
(wer)
European Systemic Risk Board (ESRB), European System of Financial Supervision
(wo)
Frankfurt a. M.
(wann)
2021
- DOI
-
doi:10.2866/322632
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:20 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Bianch, Benedetta
- European Systemic Risk Board (ESRB), European System of Financial Supervision
Entstanden
- 2021
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