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1 août 2014
- handle: 10670/1.g5z18n
- hal: hal-03460263
- SCIENCESPO: 2441/6b3bdv9unt9mspi3ri2ff917d6
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info:eu-repo/semantics/altIdentifier/hdl/2441/6b3bdv9unt9mspi3ri2ff917d6
info:eu-repo/semantics/OpenAccess
Mots-clés
European sovereign crisis Panel Smooth Threshold Regression Models CDS indices E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E44 - Financial Markets and the Macroeconomy F - International Economics/F.F3 - International Finance/F.F3.F34 - International Lending and Debt Problems G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates H - Public Economics/H.H6 - National Budget, Deficit, and Debt/H.H6.H63 - Debt • Debt Management • Sovereign Debt C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C23 - Panel Data Models • Spatio-temporal ModelsSujets proches
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Anne-Laure Delatte et al., « Nonlinearities in sovereign risk pricing the role of cds index contracts », Archive ouverte de Sciences Po (SPIRE), ID : 10670/1.g5z18n
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Résumé
Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearitiesin the sovereign bond market of European peripheral countries during the debt crisis and explain them. Our estimates based on a panel smooth threshold regression model during January 2006 to September 2012 show four main findings: 1) Peripheral sovereign spreads are subject to significant nonlinear dynamics. 2) The deterioration of market conditions for financial names changes the way investors price risk of the sovereigns. 3) The spreads of European peripheral countries have been priced above their historical values, given fundamentals, because of amplification effects. 4) Two CDS indices on financial names unambiguouslystand out as leading drivers of these amplification effects.