Asymmetric dynamics in sovereign credit default swaps pricing: evidence from emerging countries

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dc.authoridBAYRAKTAR, SEMA/0000-0002-7564-4148
dc.contributor.authorSimonyan, Serdar
dc.contributor.authorBayraktar, Sema
dc.date.accessioned2024-07-18T20:47:14Z
dc.date.available2024-07-18T20:47:14Z
dc.date.issued2023
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractPurpose This paper examines the relationship between sovereign credit default swaps (CDS) and several macroeconomic factors in an asymmetric setting and distinguishes between short-run and long-run impacts. Country-specific factors (e.g. equity index, international reserves, interest rate and industrial production) and global factors (e.g. US stock volatility [VIX], geopolitical risk and oil price) are the main explanatory variables. Design/methodology/approach This analysis uses a nonlinear autoregressive distributed lag approach that enables us to study both long-run and short-run dynamics. Findings This study results show that two country-specific factors (equity index and international reserves) and two global factors (VIX and oil price) are the most important factors and affect CDS asymmetrically. Research limitations/implications The asymmetric relationships between sovereign CDS and variables in bull and bear markets can also be studied. Consideration of asymmetries in the variance could also be a fruitful step taken for further research. Practical implications The findings imply that investors and portfolio managers should design their investment and hedging decisions related to government bonds by taking into account the existence of an asymmetric relationship. Social implications Moreover, policymakers can benefit from this asymmetric information in the timing of debt issuance. Originality/value This paper examines the relationship between sovereign CDS and several macroeconomic factors in an asymmetric setting and distinguishes between short-run and long-run impacts.en_US
dc.identifier.doi10.1108/IJOEM-03-2021-0469
dc.identifier.endpage5629en_US
dc.identifier.issn1746-8809
dc.identifier.issn1746-8817
dc.identifier.issue12en_US
dc.identifier.scopus2-s2.0-85127315144en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.startpage5607en_US
dc.identifier.urihttps://doi.org/10.1108/IJOEM-03-2021-0469
dc.identifier.urihttps://hdl.handle.net/11411/7741
dc.identifier.volume18en_US
dc.identifier.wosWOS:000773949500001en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherEmerald Group Publishing Ltden_US
dc.relation.ispartofInternational Journal of Emerging Marketsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectCredit Default Swapsen_US
dc.subjectEmerging Countriesen_US
dc.subjectNardlen_US
dc.subjectAsymmetryen_US
dc.subjectF37en_US
dc.subjectG15en_US
dc.subjectG17en_US
dc.subjectFinancial Crisisen_US
dc.subjectCds Spreadsen_US
dc.subjectRisken_US
dc.subjectDeterminantsen_US
dc.subjectMarketsen_US
dc.subjectDebten_US
dc.subjectUsen_US
dc.subjectContagionen_US
dc.subjectLinkagesen_US
dc.subjectBonden_US
dc.titleAsymmetric dynamics in sovereign credit default swaps pricing: evidence from emerging countriesen_US
dc.typeArticleen_US

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