Journal article
Asymmetric determinants of CDS spreads: US industry-level evidence through the NARDL approach
Economic modelling, v 60, pp 211-230
01 Jan 2017
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper investigates the presence of asymmetries in the short-and long-run relationships between the 5-year CDS index spreads at the U.S. industry level and a set of major macroeconomic and financial variables, namely the corresponding industry stock indices, the VIX index, the 5-year Treasury bond yield and the crude oil price, using the NARDL approach. The empirical results provide significant evidence of both short-run and long-run asymmetries in the linkage between ten industry CDS spreads and the potential driving factors common for all industries, confirming the importance of asymmetric nonlinearity in this context. It is also shown that the industry equity prices, the VIX, the 5-year Treasury bond rate and, to a lesser extent, the crude oil price constitute important asymmetric determinants of these U.S. industry CDS spreads. The findings of this study have relevant implications for investors, speculators, arbitrageurs and policy makers interested in credit risk at the industry level.
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Details
- Title
- Asymmetric determinants of CDS spreads: US industry-level evidence through the NARDL approach
- Creators
- Syed Jawad Hussain Shahzad - COMSATS University IslamabadSafwan Mohd Nor - Universiti Malaysia TerengganuRoman Ferrer - University of ValenciaShawkat Hammoudeh - Montpellier Business School
- Publication Details
- Economic modelling, v 60, pp 211-230
- Publisher
- Elsevier
- Number of pages
- 20
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000390502500019
- Scopus ID
- 2-s2.0-84992130118
- Other Identifier
- 991019167757704721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics