The term structure of CDS spreads and sovereign credit risk

• 成果类型: Article
• 署名作者: Augustin, Patrick
• 署名单位: McGill University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.04.001
• 发表日期: 2018
• 页码: 53-76
• 关键词: Credit default swaps; default risk; Sovereign debt; term structure

摘要

The shape of the term structure of credit default swap spreads is an informative signal about the importance of global and domestic risk factors to the time variation of sovereign credit spreads. Exploiting cross-country heterogeneity among 44 countries, I document that the importance of global and country-specific risk in explaining sovereign credit risk varies with the sign of the slope of the term structure and the duration of its inversion. A model is used to show that global uncertainty shocks determine spread changes when the slope is positive, and that domestic shocks are more important when the slope is negative. (C) 2018 Elsevier B.V. All rights reserved.