Artikel
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 that distinguishes between causality-in-mean and causality-in-variance and the Breitung-Candelon causality test in the frequency domain are used in the research. Both tests reveal limited dependence of the BRICS CDS (especially, in the case of Brazil, China and South Africa) on the EU CDS prices. Thus, the paper underscores the signs of decoupling 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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 8 ; Year: 2014 ; Issue: 2014-26 ; Pages: 1-43 ; Kiel: Kiel Institute for the World Economy (IfW)
- Klassifikation
-
Wirtschaft
Econometric Modeling: General
General Financial Markets: General (includes Measurement and Data)
International Financial Markets
- Thema
-
BRICS
sovereign credit default swaps (CDS)
causality-in-mean
causality-invariance
decoupling
European debt crisis
Breitung-Candelon test
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Stolbov, Mikhail
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2014
- DOI
-
doi:10.5018/economics-ejournal.ja.2014-26
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Stolbov, Mikhail
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2014
Ähnliche Objekte (12)
The causal linkages between sovereign CDS prices for the BRICS and major European economies
The causal linkages between sovereign CDS prices for the BRICS and major European economies
The causal linkages between sovereign CDS prices for the BRICS and major European economies
The Causal Linkages between Sovereign CDS Prices for the BRICS and Major European Economies
Inter-industry linkages in local economies
Links between Tenure Security and Food Security in Poor Agrarian Economies: Causal Linkages and Policy Implications
Consumer sentiments across G7 and BRICS economies: Are they related?
Wealth inequality and CO2 emissions in emerging economies: The case of BRICS
Sovereign credit ratings and financial markets linkages: application to European data
Dependence structures between sovereign credit default swaps and global risk factors in BRICS countries
News and Sovereign Default Risk in Small Open Economies
Investigating a threshold effect in twin deficit hypothesis: Evidence from the BRICS economies
The causal linkages between sovereign CDS prices for the BRICS and major European economies
The causal linkages between sovereign CDS prices for the BRICS and major European economies
The causal linkages between sovereign CDS prices for the BRICS and major European economies
The Causal Linkages between Sovereign CDS Prices for the BRICS and Major European Economies
Inter-industry linkages in local economies
Links between Tenure Security and Food Security in Poor Agrarian Economies: Causal Linkages and Policy Implications
Consumer sentiments across G7 and BRICS economies: Are they related?
Wealth inequality and CO2 emissions in emerging economies: The case of BRICS
Sovereign credit ratings and financial markets linkages: application to European data
Dependence structures between sovereign credit default swaps and global risk factors in BRICS countries
News and Sovereign Default Risk in Small Open Economies
Investigating a threshold effect in twin deficit hypothesis: Evidence from the BRICS economies
The causal linkages between sovereign CDS prices for the BRICS and major European economies
The causal linkages between sovereign CDS prices for the BRICS and major European economies
The causal linkages between sovereign CDS prices for the BRICS and major European economies
The Causal Linkages between Sovereign CDS Prices for the BRICS and Major European Economies
Inter-industry linkages in local economies
Links between Tenure Security and Food Security in Poor Agrarian Economies: Causal Linkages and Policy Implications
Consumer sentiments across G7 and BRICS economies: Are they related?
Wealth inequality and CO2 emissions in emerging economies: The case of BRICS
Sovereign credit ratings and financial markets linkages: application to European data
Dependence structures between sovereign credit default swaps and global risk factors in BRICS countries
News and Sovereign Default Risk in Small Open Economies