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Journal article
Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting
International review of economics & finance, v 43, pp 443-456
May 2016
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper investigates the asymmetric and nonlinear transmission of financial and energy prices to US five-year financial CDS sector index spreads for the banking, financial services and insurance sectors in the short- and long-run over the recent periods revolving around the global financial crisis. We employ the nonlinear ARDL (NARDL) model to account for the short- and long-run asymmetries in the sensitivity of those CDS sector index spreads to their determinants. Our findings suggest that there is evidence of short- and long-run nonlinearities and asymmetries in the adjustment process of the three CDS variables. There are also short- and long-run asymmetries in the influences of macroeconomic and financial variables on the CDS sector spreads. These findings are important for policymakers who deal with credit risks at the sector levels.
•The paper examines asymmetric and nonlinear transmissions for sector CDS spreads.•The model is NARDL and CDSs are for bank, financial service and insurance sectors.•The influences come from the financial, equity risk and energy price factors.•There is evidence of short- and long-run nonlinearities and asymmetries for the CDSs.•There are also short- and long-run asymmetries in the economic and risk influences.
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Details
- Title
- Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting
- Creators
- Amine Lahiani - Laboratoire d’Économie d’OrléansShawkat Hammoudeh - Drexel UniversityRangan Gupta - University of Pretoria
- Publication Details
- International review of economics & finance, v 43, pp 443-456
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000375632300032
- Scopus ID
- 2-s2.0-84961842199
- Other Identifier
- 991019167956404721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics