Arbeitspapier
Economic Policy Uncertainty and the Volatility of Sovereign CDS Spreads
Multipliers estimated for sixteen major economies predict that 1% more economic policy uncertainty (EPU) produces about 0.3% - 0.8% more sovereign CDS volatility. The impact of EPU is strong but short-lived. US EPU is an important additional source of CDS volatility for European countries, Japan, China, and South Korea. European EPU does, in contrast, not affect the CDS volatility of other countries.
- Language
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Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 219
- Classification
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Wirtschaft
Information, Knowledge, and Uncertainty: General
General Outlook and Conditions
General Financial Markets: Government Policy and Regulation
- Subject
-
Credit default swap
Economic policy uncertainty
Sovereign credit risk
Volatility
- Event
-
Geistige Schöpfung
- (who)
-
Raunig, Burkhard
- Event
-
Veröffentlichung
- (who)
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Oesterreichische Nationalbank (OeNB)
- (where)
-
Vienna
- (when)
-
2018
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Raunig, Burkhard
- Oesterreichische Nationalbank (OeNB)
Time of origin
- 2018
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