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hal.structure.identifier
dc.contributor.authorAno Sujithan, Kuhanathan*
hal.structure.identifier
hal.structure.identifierBanque de France
dc.contributor.authorAvouyi-Dovi, Sanvi*
dc.date.accessioned2013-09-26T14:16:31Z
dc.date.available2013-09-26T14:16:31Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11721
dc.language.isoenen
dc.subjectCredit default swapen
dc.subjectBRICSen
dc.subjectemerging marketsen
dc.subjecteuro area financial markets indicatorsen
dc.subjectMarkov switchingen
dc.subject.ddc332en
dc.subject.classificationjelC.C1.C13en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelG.G1.G15en
dc.titleThe links between some European financial factors and the BRICS credit default swap spreadsen
dc.typeCommunication / Conférence
dc.description.abstractenEmerging economies and especially the BRICS countries have strong economic ties with the euro area. In addition, the financial crisis in the euro area may have effects on other markets or areas, especially those of the main emerging markets. Credit default swap (CDS) spreads are relevant indicators of credit risks. After identifying a set of fundamental determinants for sovereign CDS spreads, including euro area financial factors and computing Markov switching unit root test, we estimate Markov switching models over the period from January 2002 to August 2012, in order to examine the behaviour of sovereign CDS spreads in the BRICS countries. , i) We detect two different regimes for the BRICS, that finding is backed by conventional robustness checks and economic events; ii) most of the explanatory variables are involved in the determining theses regimes. Thus both financial and real factors have an impact on the relations defining each regime, except for Russia which is only impacted by financial ones. Especially, euro area financial indicators are largely involved in the BRICS sovereign CDS spreads’ dynamics. Besides, the robustness check supports the use of euro area variables as determinants of BRICS sovereign CDS spreads.en
dc.identifier.citationpages38en
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle62nd annual meeting of the AFSEen
dc.relation.confdate2013-06
dc.relation.confcityMarseilleen
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewednon
hal.identifierhal-01511898*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


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