Sovereign Risk Analysis Of Developing Countries: Findings From Credit Default Swap Premium Behaviour
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DOI: https://doi.org/10.21098/bemp.v14i1.77
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References listed on IDEAS
- Ismailescu, Iuliana & Kazemi, Hossein, 2010. "The reaction of emerging market credit default swap spreads to sovereign credit rating changes," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2861-2873, December.
- Carr, Peter & Wu, Liuren, 2007. "Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2383-2403, August.
- Cantor, Richard, 2004. "An introduction to recent research on credit ratings," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2565-2573, November.
- Matsumura, Marco S. & Vicente, José Valentim Machado, 2010.
"The role of macroeconomic variables in sovereign risk,"
Emerging Markets Review, Elsevier, vol. 11(3), pages 229-249, September.
- Marcos S. Matsumura & José Valentim Vicente, 2009. "The role of macroeconomic variables in sovereign risk," Working Papers Series 196, Central Bank of Brazil, Research Department.
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More about this item
Keywords
Sovereign Risk; Credit Default Swap; Panel Data;All these keywords.
JEL classification:
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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