Artikel

The causal linkages between sovereign CDS prices for the BRICS and major European economies

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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.

Language: Englisch

Bibliographic citation: 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)

Classification: Wirtschaft
Econometric Modeling: General
General Financial Markets: General (includes Measurement and Data)
International Financial Markets

Subject: BRICS
sovereign credit default swaps (CDS)
causality-in-mean
causality-invariance
decoupling
European debt crisis
Breitung-Candelon test

Event: Geistige Schöpfung

(who): Stolbov, Mikhail

Event: Veröffentlichung

(who): Kiel Institute for the World Economy (IfW)

(where): Kiel

(when): 2014

DOI: doi:10.5018/economics-ejournal.ja.2014-26

Handle: http://hdl.handle.net/10419/100001

Last update: 10.03.2025, 11:43 AM CET

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Object type

Artikel

Associated

Stolbov, Mikhail
Kiel Institute for the World Economy (IfW)

Time of origin

2014

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