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The Relation Between Global Risk Factors and Sovereign Credit Default Swap Spreads During The European Sovereign Debt Crisis: Evidence From 19 Countries

Year 2017, , 1 - 18, 20.11.2017
https://doi.org/10.25294/auiibfd.357603

Abstract

This paper uses sovereign credit default swap (CDS)
data on 19 countries to examine how global risk factors affect both the change
and the volatility of CDS spreads during the European sovereign debt crisis
period. In the analysis, a set of variables identified by prior research are
used in a Threshold GARCH setting. The findings indicate that, for majority of
countries, both the extent of Greek sovereign debt crisis and global risk
aversion have significant effect on the change of sovereign CDS spreads. Both
factors are also significantly related to the volatility of sovereign CDS
spreads for a number of countries.

References

  • Aizenman, J., Hutchison, M., ve Jinjarak, Y. (2013) What is the Risk of European Sovereign Debt Defaults? Fiscal Space CDS Spreads and Market Mispricing of Risk, Journal of International Money and Finance, 34, 37-59.
  • Amato, J. D.(2005) Risk Aversion and Risk Premia in the CDS Market, BIS Quarterly Review, 5, 55-68.
  • Bannier, C. E., Heidorn, T., ve Vogel H.D. (2014) Characteristics and Development of Corporate and Sovereign CDS, The Journal of Risk Finance, 15(5), 482-509.
  • Bellas, D., Papaioannou, M. G. ve Petrova, I. K. (2010) Determinants of Emerging Market Sovereign Bond Spreads: Fundamentals vs. Financial Stress, IMF Working Papers, WP/10/281, 1-25.
  • Collin-Dufresne, P., Goldstein, R.S. ve Martin, J.S. (2001) The Determinants of Credit Spread Changes, Journal of Finance, 56, 2177-2207.
  • Corzo, T.M., Gomez, J., ve Lazcano, L. (2012) The Co-movement of Sovereign Credit Default Swaps, Sovereign Bonds and Stock Markets in Europe, Working Paper,
  • Ericsson, J., Jacobs, K. ve Oviedo-Helfenberger, R.A. (2009) The Determinants of Credit Default Swap Premia, Journal of Financial and Quantitative Analysis, 44, 109-132.
  • Flannery, M.J., Houston, J.F. ve Partnoy, F. (2010) Credit Default Swap Spreads as Viable Substitutes for Credit Ratings, San Diego Legal Studies Paper, No. 10-031.
  • Hilscher, J. ve Nosbusch, Y. (2010) Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt, Review of Finance, 14(2), 235-262.
  • Kapar, B. ve Olmo, J. (2011) The Determinants of Credit Default Swap Spreads in the Presence of Structural Breaks and Counterparty Risk, Working Papers Department of Economics, City University London, 11/02. Katsimi, M. ve Moutos, T. (2010) EMU and the Greek Crisis: The Political-Economy Perspective, European Journal of Political Economy, 26, 568-576.
  • Kliber, A. (2014) The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies, Finance a uver-Czech Journal of Economics and Finance, 64(4), 330-350.
  • Liu, Y. ve Morley, B.(2012) Sovereign Credit Default Swaps and the Macroeconomy, Applied Economics Letters, 19, 129-132.
  • Liu, Y. ve Morley, B. (2013) Sovereign Credit Ratings, The Macroeconomy and Credit Default Swap Spread, Brussels Economic Review- Cahiers Economiques De Bruxelles, 56(3/4), 335-348.
  • Longstaff, F.A., Mithal, S. ve Neis, E. (2005) Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market, Journal of Finance, 60, 2213–2253.
  • Longstaff, F. A., Pan, J., Pedersen, L.H., ve Singleton, K. J. (2011) How Sovereign is Sovereign Credit Risk?, American Economic Journal: Macroeconomics, 3(2), 75-103.
  • Maltritz, D. (2012) Determinants of Yield Spreads in the Eurozone: A Bayesian Approach, Journal of International Money and Finance, 31, 657-672.
  • Naifar, N. (2011) What Explains Default Risk Premium During the Financial Crisis? Evidence from Japan, Journal of Economics and Business, 63, 412-430.
  • Naifar, N. (2012) Modeling the Dependence Structure Between Default Risk Premium, Equity Return Volatility and the Jump Risk: Evidence from a Financial Crisis, Economic Modelling, 29, 119-131.
  • Nelson, R.M., Belkin, P. ve Mix, D.E. (2010) Greece’s Debt Crisis: Overview, Policy Responses, and Implications, Working Paper (CRS Report for Congress).
  • Tian, S. (2010) Essays on Stock Market Liquidity and Liquidity Risk Premium, University of New Orleans Theses and Dissertations.
  • Wang, A.T. ve Yao, C. (2014) Risks of Latin America Sovereign Debts Before and After the Financial Crisis, Applied Economics, 46(14), 1665-1676.

Avrupa Borç Krizi Döneminde Global Risk Faktörleri ve Ülke Kredi Temerrüt Takası Primi İlişkisi: 19 Ülke Örneği

Year 2017, , 1 - 18, 20.11.2017
https://doi.org/10.25294/auiibfd.357603

Abstract

Bu
makale 19 ülke için Avrupa borç krizi döneminde ülke kredi temerrüt takası
primindeki değişimi  ve volatiliteyi
etkileyen global risk faktörlerini incelemektedir. Çalışmada, literatürde
kullanılmış olan global ekonomik durum, likidite, risk algısı ve Yunanistan
borç krizinin etkisini temsil eden faktörleri içeren bir Eşik Değerli GARCH
modeli kullanılmıştır. Analiz sonuçları, incelenen ülkelerin tamamına yakınında,
Yunanistan borç krizinin seyrinin ülke kredi temerrüt takası primi ile ilişkili
olduğunu göstermektedir. İncelenen ülkelerin çoğunda, global risk algısını
temsil eden VIX endeksi ile ülke kredi temerrüt takası primindeki değişim
arasında pozitif ilişki bulunmaktadır. Aynı faktörlerin birçok ülke için kredi
temerrüt takası priminin volatilitesi ile de ilişkili olduğu gözlemlenmiştir.

References

  • Aizenman, J., Hutchison, M., ve Jinjarak, Y. (2013) What is the Risk of European Sovereign Debt Defaults? Fiscal Space CDS Spreads and Market Mispricing of Risk, Journal of International Money and Finance, 34, 37-59.
  • Amato, J. D.(2005) Risk Aversion and Risk Premia in the CDS Market, BIS Quarterly Review, 5, 55-68.
  • Bannier, C. E., Heidorn, T., ve Vogel H.D. (2014) Characteristics and Development of Corporate and Sovereign CDS, The Journal of Risk Finance, 15(5), 482-509.
  • Bellas, D., Papaioannou, M. G. ve Petrova, I. K. (2010) Determinants of Emerging Market Sovereign Bond Spreads: Fundamentals vs. Financial Stress, IMF Working Papers, WP/10/281, 1-25.
  • Collin-Dufresne, P., Goldstein, R.S. ve Martin, J.S. (2001) The Determinants of Credit Spread Changes, Journal of Finance, 56, 2177-2207.
  • Corzo, T.M., Gomez, J., ve Lazcano, L. (2012) The Co-movement of Sovereign Credit Default Swaps, Sovereign Bonds and Stock Markets in Europe, Working Paper,
  • Ericsson, J., Jacobs, K. ve Oviedo-Helfenberger, R.A. (2009) The Determinants of Credit Default Swap Premia, Journal of Financial and Quantitative Analysis, 44, 109-132.
  • Flannery, M.J., Houston, J.F. ve Partnoy, F. (2010) Credit Default Swap Spreads as Viable Substitutes for Credit Ratings, San Diego Legal Studies Paper, No. 10-031.
  • Hilscher, J. ve Nosbusch, Y. (2010) Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt, Review of Finance, 14(2), 235-262.
  • Kapar, B. ve Olmo, J. (2011) The Determinants of Credit Default Swap Spreads in the Presence of Structural Breaks and Counterparty Risk, Working Papers Department of Economics, City University London, 11/02. Katsimi, M. ve Moutos, T. (2010) EMU and the Greek Crisis: The Political-Economy Perspective, European Journal of Political Economy, 26, 568-576.
  • Kliber, A. (2014) The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies, Finance a uver-Czech Journal of Economics and Finance, 64(4), 330-350.
  • Liu, Y. ve Morley, B.(2012) Sovereign Credit Default Swaps and the Macroeconomy, Applied Economics Letters, 19, 129-132.
  • Liu, Y. ve Morley, B. (2013) Sovereign Credit Ratings, The Macroeconomy and Credit Default Swap Spread, Brussels Economic Review- Cahiers Economiques De Bruxelles, 56(3/4), 335-348.
  • Longstaff, F.A., Mithal, S. ve Neis, E. (2005) Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market, Journal of Finance, 60, 2213–2253.
  • Longstaff, F. A., Pan, J., Pedersen, L.H., ve Singleton, K. J. (2011) How Sovereign is Sovereign Credit Risk?, American Economic Journal: Macroeconomics, 3(2), 75-103.
  • Maltritz, D. (2012) Determinants of Yield Spreads in the Eurozone: A Bayesian Approach, Journal of International Money and Finance, 31, 657-672.
  • Naifar, N. (2011) What Explains Default Risk Premium During the Financial Crisis? Evidence from Japan, Journal of Economics and Business, 63, 412-430.
  • Naifar, N. (2012) Modeling the Dependence Structure Between Default Risk Premium, Equity Return Volatility and the Jump Risk: Evidence from a Financial Crisis, Economic Modelling, 29, 119-131.
  • Nelson, R.M., Belkin, P. ve Mix, D.E. (2010) Greece’s Debt Crisis: Overview, Policy Responses, and Implications, Working Paper (CRS Report for Congress).
  • Tian, S. (2010) Essays on Stock Market Liquidity and Liquidity Risk Premium, University of New Orleans Theses and Dissertations.
  • Wang, A.T. ve Yao, C. (2014) Risks of Latin America Sovereign Debts Before and After the Financial Crisis, Applied Economics, 46(14), 1665-1676.
There are 21 citations in total.

Details

Subjects Economics
Journal Section Articles
Authors

Aydın Yüksel This is me

Aslı Yüksel This is me

Publication Date November 20, 2017
Submission Date February 6, 2017
Acceptance Date July 19, 2017
Published in Issue Year 2017

Cite

APA Yüksel, A., & Yüksel, A. (2017). Avrupa Borç Krizi Döneminde Global Risk Faktörleri ve Ülke Kredi Temerrüt Takası Primi İlişkisi: 19 Ülke Örneği. Akdeniz İİBF Dergisi, 17(36), 1-18. https://doi.org/10.25294/auiibfd.357603
AMA Yüksel A, Yüksel A. Avrupa Borç Krizi Döneminde Global Risk Faktörleri ve Ülke Kredi Temerrüt Takası Primi İlişkisi: 19 Ülke Örneği. Akdeniz İİBF Dergisi. November 2017;17(36):1-18. doi:10.25294/auiibfd.357603
Chicago Yüksel, Aydın, and Aslı Yüksel. “Avrupa Borç Krizi Döneminde Global Risk Faktörleri Ve Ülke Kredi Temerrüt Takası Primi İlişkisi: 19 Ülke Örneği”. Akdeniz İİBF Dergisi 17, no. 36 (November 2017): 1-18. https://doi.org/10.25294/auiibfd.357603.
EndNote Yüksel A, Yüksel A (November 1, 2017) Avrupa Borç Krizi Döneminde Global Risk Faktörleri ve Ülke Kredi Temerrüt Takası Primi İlişkisi: 19 Ülke Örneği. Akdeniz İİBF Dergisi 17 36 1–18.
IEEE A. Yüksel and A. Yüksel, “Avrupa Borç Krizi Döneminde Global Risk Faktörleri ve Ülke Kredi Temerrüt Takası Primi İlişkisi: 19 Ülke Örneği”, Akdeniz İİBF Dergisi, vol. 17, no. 36, pp. 1–18, 2017, doi: 10.25294/auiibfd.357603.
ISNAD Yüksel, Aydın - Yüksel, Aslı. “Avrupa Borç Krizi Döneminde Global Risk Faktörleri Ve Ülke Kredi Temerrüt Takası Primi İlişkisi: 19 Ülke Örneği”. Akdeniz İİBF Dergisi 17/36 (November 2017), 1-18. https://doi.org/10.25294/auiibfd.357603.
JAMA Yüksel A, Yüksel A. Avrupa Borç Krizi Döneminde Global Risk Faktörleri ve Ülke Kredi Temerrüt Takası Primi İlişkisi: 19 Ülke Örneği. Akdeniz İİBF Dergisi. 2017;17:1–18.
MLA Yüksel, Aydın and Aslı Yüksel. “Avrupa Borç Krizi Döneminde Global Risk Faktörleri Ve Ülke Kredi Temerrüt Takası Primi İlişkisi: 19 Ülke Örneği”. Akdeniz İİBF Dergisi, vol. 17, no. 36, 2017, pp. 1-18, doi:10.25294/auiibfd.357603.
Vancouver Yüksel A, Yüksel A. Avrupa Borç Krizi Döneminde Global Risk Faktörleri ve Ülke Kredi Temerrüt Takası Primi İlişkisi: 19 Ülke Örneği. Akdeniz İİBF Dergisi. 2017;17(36):1-18.

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