Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100001
Authors: 
Stolbov, Mikhail
Year of Publication: 
2014
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 8 [Issue:] 2014-26 [Pages:] 1-43
Abstract: 
The article examines causal relationships between sovereign credit default swaps (CDS) prices for the BRICS and most important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function (CCF) approach that distinguishes between causality-in-mean and causality-in-variance and the Breitung-Candelon causality test in the frequency domain are used in the research. Both tests reveal limited dependence of the BRICS CDS (especially, in the case of Brazil, China and South Africa) on the EU CDS prices. Thus, the paper underscores the signs of decoupling in the sovereign CDS market and also supports the view that the European debt crisis has so far had a limited non-EU impact in this market.
Subjects: 
BRICS
sovereign credit default swaps (CDS)
causality-in-mean
causality-invariance
decoupling
European debt crisis
Breitung-Candelon test
JEL: 
C50
G10
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article

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