Earticle

초록

영어

This study investigates the determinants of sovereign credit default swap (CDS) spreads in Korea, China, and Japan using quarterly data from 2008Q3 to 2024Q4. We estimate countryspecific regression models incorporating macroeconomic fundamentals, domestic financial indicators, globa1l uncertainty, and demographic structure, along with crisis-specific intercept dummies for the 2008 subprime mortgage shock, the 2010 European sovereign debt crisis, and the COVID-19 pandemic. The results show that Korea's CDS spreads are driven primarily by global financial turmoil, with the subprime crisis exerting a significant upward impact, while domestic macro-financial variables play a limited role. For China, inflation dynamics—captured through changes in the consumer price index—exert a robust negative effect on CDS returns, indicating that lower inflation corresponds to increased sovereign credit risk. Japan exhibits a more complex structure in which government debt raises CDS spreads, whereas the elderly dependency ratio reduces them; moreover, the subprime shock lowers Japan's CDS spreads, reflecting the yen's safe-haven role. These findings demonstrate that sovereign credit risk pricing in East Asia is shaped by heterogeneous domestic conditions and asymmetric responses to global shocks, offering policy insights for strengthening regional financial stability.

목차

Abstract
Ⅰ. 서론
Ⅱ. 이론적 배경
Ⅲ. 연구모형 및 연구자료
Ⅳ. 실증분석 결과
Ⅴ. 결론
참고문헌

키워드

저자

• 이현철 [ Hyunchul Lee | 조선대학교 경영학부 교수 ] 제1저자

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  무역통상학회지 [Journal of Korea Research Association of International Commerce]

• 간기

  격월간

• pISSN

  1738-4354

• 수록기간

  2001~2025

• 등재여부

  KCI 등재

• 십진분류

  KDC 326 DDC 380