| Title | The effect of economic and political uncertainty on sovereign CDS spreads |
| Author | |
| Corresponding Author | Wang, Xinjie |
| Publication Years | 2024
|
| DOI | |
| Source Title | |
| ISSN | 1059-0560
|
| EISSN | 1873-8036
|
| Volume | 89 |
| Abstract | This study examines the effect of economic and political uncertainty on sovereign CDS spreads using a novel panel index of world uncertainty. We document that sovereign CDS spreads widen with uncertainty. A 1% increase in uncertainty leads to a 0.86% increase in sovereign CDS spreads. Furthermore, the effect of uncertainty on sovereign CDS spreads is stronger for developed countries, countries with investment-grade credit ratings, and during non-crisis periods. The banking sector is a potential channel through which uncertainty increases sovereign risk. Overall, our results suggest that economic and political uncertainty contributes to both local and global components of sovereign CDS spreads. |
| Keywords | |
| URL | [Source Record] |
| Indexed By | |
| Language | English
|
| SUSTech Authorship | Corresponding
|
| WOS Research Area | Business & Economics
|
| WOS Subject | Business, Finance
; Economics
|
| WOS Accession No | WOS:001053533800001
|
| Publisher | |
| Data Source | Web of Science
|
| Citation statistics |
Cited Times [WOS]:0
|
| Document Type | Journal Article |
| Identifier | http://kc.sustech.edu.cn/handle/2SGJ60CL/553402 |
| Affiliation | 1.Sun Yat Sen Univ, Business Sch, Guangzhou, Peoples R China 2.Southern Univ Sci & Technol, Shenzhen, Peoples R China 3.Capital Univ Econ & Business, Beijing, Peoples R China 4.Clemson Univ, Clemson, SC USA 5.Chinese Univ Hong Kong, Shenzhen, Peoples R China |
| Corresponding Author Affilication | Southern University of Science and Technology |
| Recommended Citation GB/T 7714 |
Pan, Wei-Fong,Wang, Xinjie,Xiao, Yaqing,et al. The effect of economic and political uncertainty on sovereign CDS spreads[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE,2024,89.
|
| APA |
Pan, Wei-Fong,Wang, Xinjie,Xiao, Yaqing,Xu, Weike,&Zhang, Jinfan.(2024).The effect of economic and political uncertainty on sovereign CDS spreads.INTERNATIONAL REVIEW OF ECONOMICS & FINANCE,89.
|
| MLA |
Pan, Wei-Fong,et al."The effect of economic and political uncertainty on sovereign CDS spreads".INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 89(2024).
|
| Files in This Item: | There are no files associated with this item. | |||||
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