globalchange  > 气候变化与战略
DOI: 10.3390/su12041472
论文题名:
Sovereign credit spread spillovers in Asia
作者: Guo B.; Han Q.; Liang J.; Ryu D.; Yu J.
刊名: Sustainability (Switzerland)
ISSN: 20711050
出版年: 2020
卷: 12, 期:4
语种: 英语
英文关键词: Asian market ; Emerging financial market ; Sovereign contagion ; Sovereign credit default swap ; Sustainable investments
英文摘要: Sovereign credit default swap (CDS) spreads exhibit strong co-movements across Asian countries and regions, including both emerging and developed economies. After controlling for global impacts, we examine the regional lead-lag relationships among changes in ten Asian sovereign CDS spreads. We use the pairwise Granger causality test to find that lagged changes in Kazakhstan's sovereign CDS spreads significantly predict changes in other Asian sovereign CDS spreads. By estimating the news-diffusion model, we find evidence that this predictive relationship may be explained by information diffusion. Furthermore, we find that lagged changes in Kazakhstan's CDS spreads have significant out-of-sample predictive power for other Asian economies, providing practical implications for sustainable investments and risk management. © 2020 by the authors.
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资源类型: 期刊论文
标识符: http://119.78.100.158/handle/2HF3EXSE/159815
Appears in Collections:气候变化与战略

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作者单位: School of Finance, Renmin University of China, Beijing, 100872, China; Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, 361005, China; College of Finance and Statistics, Hunan University, Changsha, 410006, China; College of Economics, Sungkyunkwan University, Seoul, 03063, South Korea

Recommended Citation:
Guo B.,Han Q.,Liang J.,et al. Sovereign credit spread spillovers in Asia[J]. Sustainability (Switzerland),2020-01-01,12(4)
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