Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/264811 
Year of Publication: 
2018
Series/Report no.: 
Working Paper No. 219
Publisher: 
Oesterreichische Nationalbank (OeNB), Vienna
Abstract: 
Multipliers estimated for sixteen major economies predict that 1% more economic policy uncertainty (EPU) produces about 0.3% - 0.8% more sovereign CDS volatility. The impact of EPU is strong but short-lived. US EPU is an important additional source of CDS volatility for European countries, Japan, China, and South Korea. European EPU does, in contrast, not affect the CDS volatility of other countries.
Subjects: 
Credit default swap
Economic policy uncertainty
Sovereign credit risk
Volatility
JEL: 
D80
E66
G18
Document Type: 
Working Paper

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