Do REITs Market Fluctuations Have a Contagious Effect on The CDS Premium?─Evidence from a Threshold Regression Analysis

• Main Authors: Yu-Ting Chen, 陳渝婷
• Other Authors: Chu-Hua Wu
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/74903031533142097898

碩士 === 元智大學 === 財務金融暨會計碩士班(財務金融學程) === 103 === Under an instrument threshold framework; this paper examines the nonlinear contagion effect of real estate markets (real estate investment trust, REIT) on credit markets (credit default swaps, CDS) in Europe and two representative countries, Germany and France. The selected exogenous explanatory variables of REIT price dynamics consist of the stock return, the slope of risk-free term structure and the change in VIX index. The empirical analysis shows that European REIT market fluctuations play an important role in contributing to CDS growths after the financial crisis. The estimated threshold low-growth REIT regimes after the financial crisis are in the period from September 2008 to March 2009. Also, we find that the stock return is an important factor for CDS market dynamics. Overall, we provide some evidence that the housing bubble can cause the financial crisis in the European countries.