TY - JOUR
T1 - Information transmission between sovereign debt CDS and other financial factors - The case of Latin America
AU - Wang, Alan T.
AU - Yang, Sheng Yung
AU - Yang, Nien Tzu
PY - 2013/12/1
Y1 - 2013/12/1
N2 - This paper extends previous research by investigating the intertemporal causality relationships between daily Latin America sovereign credit default swap (CDS) returns and other financial sovereign debt spread determinants. The empirical results indicate that information in sovereign CDS can both lead and lag these financial determinants. Specifically, country financial variables, including exchange rates and lending spreads, and global financial variables including 10-U.S. Treasury yields, VIX and TED spreads, are important determinants for future sovereign CDS price movements. The findings provide investment implications for international financial markets.
AB - This paper extends previous research by investigating the intertemporal causality relationships between daily Latin America sovereign credit default swap (CDS) returns and other financial sovereign debt spread determinants. The empirical results indicate that information in sovereign CDS can both lead and lag these financial determinants. Specifically, country financial variables, including exchange rates and lending spreads, and global financial variables including 10-U.S. Treasury yields, VIX and TED spreads, are important determinants for future sovereign CDS price movements. The findings provide investment implications for international financial markets.
UR - http://www.scopus.com/inward/record.url?scp=84888439148&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84888439148&partnerID=8YFLogxK
U2 - 10.1016/j.najef.2013.02.023
DO - 10.1016/j.najef.2013.02.023
M3 - Article
AN - SCOPUS:84888439148
SN - 1062-9408
VL - 26
SP - 586
EP - 601
JO - North American Journal of Economics and Finance
JF - North American Journal of Economics and Finance
ER -