標題: Default correlation at the sovereign level: evidence from some Latin American markets
作者: Chen, Yi-Hsuan
Wang, Kehluh
Tu, Anthony H.
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
公開日期: 2011
摘要: Using the eruption of Argentina debt crisis in 2001 as a natural experiment, we investigated the correlated default at the sovereign level for some Latin American countries. Daily closing market quotes for sovereign Credit Default Swaps (CDS) of Argentina, Brazil, Mexico and Venezuela were obtained from CreditTrade database. Using copula approach, we observed increased dependences among sovereign CDS markets during the crisis period. Their dependence structures were found to be asymmetric. Moreover, the degree of credit contagion was related to the creditworthiness of the country. This study also discussed the implications of these findings for policymakers.
URI: http://hdl.handle.net/11536/14062
http://dx.doi.org/10.1080/00036840802600467
ISSN: 0003-6846
DOI: 10.1080/00036840802600467
期刊: APPLIED ECONOMICS
Volume: 43
Issue: 11
起始頁: 1399
結束頁: 1411
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