Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/93059
Authors: 
Stolbov, Mikhail
Year of Publication: 
2014
Series/Report no.: 
Economics Discussion Papers 2014-9
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 used in the research distinguishes between causality-in-mean and causality-in-variance. In both causality dimensions, the BRICS CDS prices tend to Granger cause those of the EU counterparts with the exception of Germany. Italy and Spain exhibit the highest dependence on the BRICS, whereas only India has a negative balance of outgoing and incoming causal linkages among the BRICS. Thus, the paper underscores the signs of decoupling effects 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: 
sovereign credit default swaps (CDS)
causality-in-mean
causality-in-variance
European debt crisis
BRICS
decoupling
JEL: 
C50
G10
G15
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Working Paper

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