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The causal relationships between sovereign CDS premiums for Japan and selected EU countries

Author

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  • Yasunori Yoshizaki
  • Yuki Toyoshima
  • Shigeyuki Haomori

Abstract

In this article, we apply the cross-correlation function approach developed by Hong (2001) in order to investigate how the recent sovereign debt crisis has influenced interrelations between sovereign credit default swap (CDS) premiums for Japan and for Europe's major countries. We confirm the existence of a causal linkage between the mean of Japan and those of EU countries except Greece. In addition, this causal linkage has strengthened remarkably since the crisis. Further, we detect a causal linkage in terms of variance between Japan and certain EU countries including Greece.

Suggested Citation

  • Yasunori Yoshizaki & Yuki Toyoshima & Shigeyuki Haomori, 2013. "The causal relationships between sovereign CDS premiums for Japan and selected EU countries," Applied Economics Letters, Taylor & Francis Journals, vol. 20(8), pages 742-747, May.
    • Handle: RePEc:taf:apeclt:v:20:y:2013:i:8:p:742-747
    DOI: 10.1080/13504851.2012.741671
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    Cited by:

    1. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-43.
    2. Boonlert Jitmaneeroj & John Ogwang, 2016. "An Empirical Analysis of Sovereign Credit Risk Co-movement between Japan and ASEAN Countries," Journal of Economics and Behavioral Studies, AMH International, vol. 8(4), pages 6-16.

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