Arbeitspapier
The causal linkages between sovereign CDS prices for the BRICS and major European economies
The article examines causal relationships between sovereign credit default swaps (CDS) prices for the BRICS and most important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function (CCF) approach used in the research distinguishes between causality-in-mean and causality-in-variance. In both causality dimensions, the BRICS CDS prices tend to Granger cause those of the EU counterparts with the exception of Germany. Italy and Spain exhibit the highest dependence on the BRICS, whereas only India has a negative balance of outgoing and incoming causal linkages among the BRICS. Thus, the paper underscores the signs of decoupling effects in the sovereign CDS market and also supports the view that the European debt crisis has so far had a limited non-EU impact in this market.
- Language
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Englisch
- Bibliographic citation
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Series: Economics Discussion Papers ; No. 2014-9
- Classification
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Wirtschaft
Econometric Modeling: General
General Financial Markets: General (includes Measurement and Data)
International Financial Markets
- Subject
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sovereign credit default swaps (CDS)
causality-in-mean
causality-in-variance
European debt crisis
BRICS
decoupling
- Event
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Geistige Schöpfung
- (who)
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Stolbov, Mikhail
- Event
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Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
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Kiel
- (when)
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2014
- Handle
- Last update
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10.03.2025, 11:42 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
- Stolbov, Mikhail
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2014
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