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Short-Term Drivers of Sovereign CDS Spreads

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  • Marcelo Yoshio Takami

Abstract

This paper presents large-scale estimated models, one for each country, representing factors driving changes in CDS (Credit Default Swap) spreads of 35 sovereigns. I estimate the models and test their robustness using data from July 2005 to July 2016. The set of eligible explanatory variables comprises indicators of the state of the global economy and of the domestic economic conditions, and proxies for risk premia. I find that not only the S&P 500 variable is pervasive across the countries, but also that the estimated S&P 500 coefficients are higher in magnitude for emerging markets than developed countries.

Suggested Citation

  • Marcelo Yoshio Takami, 2018. "Short-Term Drivers of Sovereign CDS Spreads," Working Papers Series 475, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:475
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    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps475.pdf
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