Daily CDS pricing in emerging markets before and during the global financial crisis

Daily CDS pricing in emerging markets before and during the global financial crisis

In this paper, we study the determinants of daily spreads for emerging market sovereign credit default swaps (CDS) over the period April 2002–December 2011. Using GARCH models, we find, first, that daily CDS spreads for emerging market sovereigns are more related to global and regional risk premia t...

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Veröffentlicht in:MAGKS - Joint Discussion Paper Series in Economics (Band 39-2011)
Autoren: Fender, Ingo, Hayo, Bernd, Neuenkirch, Matthias
Format: Arbeit
Sprache:Englisch
Veröffentlicht: Philipps-Universität Marburg 2011
Schlagworte:
emerging markets
Wirtschaft
Credit default swaps
financial crisis
spillovers.
Economics
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MAGKS - Joint Discussion Paper Series in Economics

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