Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56591 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics No. 39-2011
Verlag: 
Philipps-University Marburg, Faculty of Business Administration and Economics, Marburg
Zusammenfassung: 
In this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April 2002-July 2007) CDS spreads react more to country-specific factors than to US monetary policy news. This finding is reversed during the financial crisis sub-sample (August 2007-December 2009), when US monetary policy actions and communications affect CDS spreads in a notable way. Finally, our analysis suggests that CDS spreads became more prone to spillover effects during the financial crisis.
Schlagwörter: 
credit default swaps
emerging markets
Federal Reserve communication
financial crisis
policy spillovers
JEL: 
E52
G14
G15
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
387.04 kB





Publikationen in EconStor sind urheberrechtlich geschützt.