Measuring Sovereign Risk: Are CDS Spreads Better than Sovereign Credit Ratings?

被引：25

作者：

Rodriguez, Ivan M. ^{[1
]}

Dandapani, Krishnan ^{[2
]}

Lawrence, Edward R. ^{[2
]}

机构：

[1] Eastern Michigan Univ, Dept Accounting & Finance, Gary M Owen Coll Business, Ypsilanti, MI 48197 USA

[2] Florida Int Univ, Dept Finance, Chapman Grad Sch Business, Miami, FL 33199 USA

来源：

FINANCIAL MANAGEMENT | 2019年 / 48卷 / 01期

关键词：

DEFAULT SWAP SPREADS; TERM STRUCTURE; REGRESSION; TESTS;

D O I：

10.1111/fima.12223

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using data for 54 countries over a 12-year period, we find that the variation in average sovereign ratings in a given year can be explained by average credit default swap (CDS) spreads over the previous three years. In a horse race between CDS spreads and sovereign ratings, we find that CDS spread changes can predict sovereign events, while rating changes cannot. The predictability of CDS spreads is greater when there is disagreement between Moody's and the S&P for a country's rating.

引用

页码：229 / 256

页数：28

共 50 条

[1] Sovereign credit ratings and CDS spreads in Emerging Europe
Dopierala, Lukasz
Ilczuk, Daria
Wojciechowski, Liwiusz
EQUILIBRIUM-QUARTERLY JOURNAL OF ECONOMICS AND ECONOMIC POLICY, 2020, 15 (03): : 419 - 438
[2] Assigning Eurozone sovereign credit ratings using CDS spreads
van de Ven, Rick
Dabadghao, Shaunak
Chockalingam, Arun
JOURNAL OF RISK FINANCE, 2018, 19 (05) : 478 - 512
[3] The term structure of CDS spreads and sovereign credit risk
Augustin, Patrick
JOURNAL OF MONETARY ECONOMICS, 2018, 96 : 53 - 76
[4] Sovereign credit spreads
Uhrig-Homburg, Marliese
JOURNAL OF BANKING & FINANCE, 2013, 37 (11) : 4217 - 4225
[5] Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads
Augustin, Patrick
Chernov, Mikhail
Song, Dongho
JOURNAL OF FINANCIAL ECONOMICS, 2020, 137 (01) : 129 - 151
[6] The Politics of Sovereign Credit Spreads
Smaoui, Houcem
Boubakri, Narjess
Cosset, Jean-Claude
EMERGING MARKETS FINANCE AND TRADE, 2017, 53 (08) : 1894 - 1922
[7] Are Sovereign Credit Ratings Overrated?
Davor Kunovac
Rafael Ravnik
Comparative Economic Studies, 2017, 59 (2) : 210 - 242
[8] Subjectivity in sovereign credit ratings
De Moor, Lieven
Luitel, Prabesh
Sercu, Piet
Vanpee, Rosanne
JOURNAL OF BANKING & FINANCE, 2018, 88 : 366 - 392
[9] Sovereign Credit Ratings in Latin America and the Caribbean: History and Impact on Bond Spreads
Bustillo, Ines
Perrotti, Daniel
Velloso, Helvia
ECONOMIA-JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, 2019, 20 (01): : 155 - 196
[10] Economic freedom and sovereign credit ratings and default risk
Roychoudhury, Saurav
Lawson, Robert A.
JOURNAL OF FINANCIAL ECONOMIC POLICY, 2010, 2 (02) : 149 - 162

← 1 2 3 4 5 →