Journal article
Asymmetric convergence in US financial credit default swap sector index markets
The Quarterly review of economics and finance, v 51(4), pp 408-418
2011
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Abstract
This study examines the asymmetric adjustments to the long-run equilibrium for credit default swap (CDS) sector indexes of three financial sectors – banking, financial services and insurance – in the presence of a threshold effect. The results of the momentum-threshold autoregression (M-TAR) models demonstrate that asymmetric cointegration exists for all pairs comprised of those three CDS indexes. The speeds of adjustment in the long-run are much higher in the case of adjustments from below the threshold than from above for all the pairs. The estimates of The MTAR-VEC models suggest that the dual CDS index return in each sector pair participates in the adjustment to equilibrium in the short- and long-run taken together. But in the long-run alone, only one of the two spreads in each pair participates. Policy implications are also provided.
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Details
- Title
- Asymmetric convergence in US financial credit default swap sector index markets
- Creators
- Li-Hsueh Chen - California State University Los AngelesShawkat Hammoudeh - Drexel UniversityYuan Yuan - Drexel University
- Publication Details
- The Quarterly review of economics and finance, v 51(4), pp 408-418
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000437627500010
- Scopus ID
- 2-s2.0-80054791018
- Other Identifier
- 991019168091104721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Economics