Earticle

초록

영어

We investigate interconnectedness and the contagion effect of default risk in Asian sovereign credit default swap (CDS) markets since the global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in Asian sovereign CDS markets; that such co-movements tend to be larger between developing countries than between developed and developing countries; and that in the co-movements intra-regional nature is stronger than inter-regional nature. With the Spillover Index model, we measure contagion probabilities of sovereign default risk in CDS markets of seven Asian countries and find evidence of contagion effects among six of them; Japan is the exception. In addition, we find that these six countries are affected more by cross-market spillovers than by their own-market spillovers. Furthermore, a rolling-sample analysis reveals that contagion in the Asian sovereign CDS markets expands during episodes of extreme economic and financial distress, such as the Lehman Brothers bankruptcy, the European financial crisis, and the US-credit downgrade.

목차

Abstract
 1. Introduction
 2. Asian Sovereign CDS Market Trends
 3. Methodology
  3.1. Dynamic Conditional Correlation (DCC) Results
  3.2. Spillover Index Model
 4. Results
  4.1. Data
  4.2. Interconnectedness in Asian Sovereign CDS Markets
  4.3. Contagion Effects in Asian Sovereign CDS Markets
 5. Conclusion
 References
 Appendix A. Figures
 Appendix

키워드

저자

• Daehyoung Cho [ National Assembly Research Service ]
• Kyongwook Choi [ Department of Economics, University of Seoul ]
• Keunsuk Chung [ School of Business Administration, Ulsan National Institute of Science and Technology, 50 UNIST-gil, Ulju-gun, Ulsan ]

참고문헌

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간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330