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Is the crisis treatment exacerbating cautiousness or risk-taking?

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  • Olivier Damette
  • Philippe Froute

Abstract

Using second generation Panel Unit Root Tests (PURT), panel cointegration tests and panel Granger causality tests we find that although the financial crisis may have increased risk aversion for investors, it did not make disappearing speculative behaviours on structured credit markets. On the contrary, support measures to the banking sector and fiscal stimulus packages have given the opportunity for some investors to speculate on sovereign debt through Credit Default Swap (CDS) vehicles. Thus this article supports ongoing initiatives to strengthen the prudential regulation undertaken in these markets under the Group of 20 (G20) or the Financial Stability Forum (FSF).

Suggested Citation

  • Olivier Damette & Philippe Froute, 2010. "Is the crisis treatment exacerbating cautiousness or risk-taking?," Applied Financial Economics, Taylor & Francis Journals, vol. 20(3), pages 213-218.
    • Handle: RePEc:taf:apfiec:v:20:y:2010:i:3:p:213-218
    DOI: 10.1080/09603100903282697
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