التفاصيل البيبلوغرافية
| العنوان: |
Regime-Dependent Determinants of China’s Sovereign Credit Default Swap Spread. |
| المؤلفون: |
Qian, Zongxin1 (AUTHOR) qianzx@ruc.edu.cn, Luo, Qian2 (AUTHOR) |
| المصدر: |
Emerging Markets Finance & Trade. 2016, Vol. 52 Issue 1, p10-21. 12p. |
| مصطلحات موضوعية: |
Credit default swaps, Default (Finance), Public debts, Economic indicators, Financial markets |
| مصطلحات جغرافية: |
China |
| مستخلص: |
We study the determinants of China’s sovereign credit default swap (CDS) spread in a regime-switching framework. This framework allows us to identify potential cross-asset-class contagion from global financial markets to China. To avoid endogeneity biases coming from domestic costs of sovereign default, we model domestic financial indicators as endogenous variables and estimate the regime-switching model with instrumental variables. We find strong evidence of cross-asset-class contagion but no evidence of contagion from sovereign CDS markets of China’s major trade partners (the European Union, Japan, and the United States). [ABSTRACT FROM AUTHOR] |
| قاعدة البيانات: |
Finance Source |
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