Journal article
Financial CDS, stock market and interest rates: Which drives which?
The North American journal of economics and finance, v 22(3), pp 257-276
01 Dec 2011
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
The objective is to examine the short- and long-run dynamics of US financial CDS index spreads at the sector level and explore their relationships with the stock market and the short- and long-run government securities, paying particular attention to the subperiod that begins with the 2007 Great Recession. We use daily time series for the three US five-year CDS index spreads for banking, financial services and insurance sectors, the S&P 500 index, the short- and long-term Treasury securities rates. Employing the Autoregressive Distributed Lag approach (ARDL), this study finds more long-run relationships between the five financial variables in Model II that includes the six-month T bill rate than Model I that includes the 10-year T bond rate. The long-run relationships have weakened in both models under the subperiod than the full period. Moreover, the short-run dynamics have changed under the subperiod but the changes are mixed. Implications are relevant for decision-makers who are interested in financial relationships at the sector level than at the firm level. (C) 2011 Elsevier Inc. All rights reserved.
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Details
- Title
- Financial CDS, stock market and interest rates: Which drives which?
- Creators
- Shawkat Hammoudeh - Drexel UniversityRamazan Sari - Middle East Technical University
- Publication Details
- The North American journal of economics and finance, v 22(3), pp 257-276
- Publisher
- Elsevier
- Number of pages
- 20
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000297782900003
- Scopus ID
- 2-s2.0-83355166861
- Other Identifier
- 991019167756304721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics