Sovereign Credit Spread Spillovers in Asia

Sovereign Credit Spread Spillovers in Asia

Sovereign credit default swap (CDS) spreads exhibit strong co-movements across Asian countries and regions, including both emerging and developed economies. After controlling for global impacts, we examine the regional lead-lag relationships among changes in ten Asian sovereign CDS spreads. We use t...

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Bibliographic Details
Main Authors: Biao Guo, Qian Han, Jufang Liang, Doojin Ryu, Jinyoung Yu
Format: Article
Language:English
Published: MDPI AG 2020-02-01
Series:Sustainability
Subjects:
asian market
emerging financial market
sovereign contagion
sovereign credit default swap
sustainable investments
Online Access:https://www.mdpi.com/2071-1050/12/4/1472

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