Information transmission between sovereign debt CDS and other financial factors - The case of Latin America

Alan T. Wang, Sheng Yung Yang, Nien Tzu Yang

Research output: Contribution to journalArticlepeer-review

16 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)586-601
Number of pages16
JournalNorth American Journal of Economics and Finance
Volume26
DOIs
Publication statusPublished - 2013 Dec 1

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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