دانلود رایگان مقاله عوامل نامتقارن گسترش CDS

Abstract

This paper investigates the presence of asymmetries in the short- and long-run relationships between the 5-year CDS index spreads at the U.S. industry level and a set of major macroeconomic and financial variables, namely the corresponding industry stock indices, the VIX index, the 5-year Treasury bond yield and the crude oil price, using the NARDL approach. The empirical results provide significant evidence of both short-run and long-run asymmetries in the linkage between ten industry CDS spreads and the potential driving factors common for all industries, confirming the importance of asymmetric nonlinearity in this context. It is also shown that the industry equity prices, the VIX, the 5-year Treasury bond rate and, to a lesser extent, the crude oil price constitute important asymmetric determinants of these U.S. industry CDS spreads. The findings of this study have relevant implications for investors, speculators, arbitrageurs and policy makers interested in credit risk at the industry level.

5. Concluding remarks

The global financial crisis of the period 2008-2009 has sparked an interesting debate about possible asymmetries in the linkage between CDS spreads and their main determinants, particularly in times of major financial turmoil. In this context, this paper investigates the presence of asymmetries in the short- and long-run relationships between ten U.S. industry CDS index spreads and a set of influential macroeconomic and financial variables selected on the basis of the structural credit risk model of Merton, i.e. the corresponding industry equity indices, the VIX index, the 5-year Treasury bond yield and the WTI crude oil price, using the NARDL approach estimated on weekly and daily data to check for robustness. These factors incorporate the information on the risk and prospects in stock, government bond and oil markets that may influence the market perception of credit risk and may be passed on to the CDS spreads of industries. The NARDL model, which was recently developed by Shin et al. (2014), provides a flexible and efficient framework that allows for quantifying the transmission of positive and negative shocks in each of these variables to the industry CDS index spreads, accounting for asymmetries in both short-run and long-run time horizons.