Relación Dinámica Entre Los Credit Default Swaps Y La Deuda Pública. Análisis En El Contexto Latinoamericano

Jeimy Lorena Martínez Arroyo; Nini Johana Marín Rodríguez

doi:10.15446/cuad.econ.v40n83.81997

Relación Dinámica Entre Los Credit Default Swaps Y La Deuda Pública. Análisis En El Contexto Latinoamericano

Jeimy Lorena Martínez Arroyo, Nini Johana Marín Rodríguez

Grupo de Investigación en Ingeniería Financiera (GINIF)

Resultado de la investigación: Contribución a una revista › Artículo › revisión exhaustiva

Resumen

We analyse how the Credit Default Swaps (CDS) are related to sovereign risk in Brazil, Chile, Colombia, and Mexico, during the period 2010-2019. Dynamic conditional correlation (DCC) models and Granger causality tests are estimated. There is a decreasing general trend in the correlations of the last years of the sample, which can be explained by an improvement in the sovereign debt credit rating and a fall in investment risk in Colombia, Chile, and Brazil. In addition, the empirical results show that the CDS influences the behaviour of public debt bonds

Título traducido de la contribución	Martínez Arroyo, J. L., & Marín Rodríguez, N. J. (2021). Dynamic relationship between Credit Default Swaps and sovereign debt. Analysis on the Latin- American context. Cuadernos de Economía, 40(83), 583-608
Idioma original	Español
Páginas (desde-hasta)	583-608
Número de páginas	26
Publicación	Cuadernos de Economia (Colombia)
Volumen	40
N.º	83
DOI	https://doi.org/10.15446/cuad.econ.v40n83.81997
Estado	Publicada - 2021

Palabras clave

Credit default swaps
credit derivatives
credit risk
dynamic conditional correlation
sovereign debt

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10.15446/cuad.econ.v40n83.81997

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abstract = "We analyse how the Credit Default Swaps (CDS) are related to sovereign risk in Brazil, Chile, Colombia, and Mexico, during the period 2010-2019. Dynamic conditional correlation (DCC) models and Granger causality tests are estimated. There is a decreasing general trend in the correlations of the last years of the sample, which can be explained by an improvement in the sovereign debt credit rating and a fall in investment risk in Colombia, Chile, and Brazil. In addition, the empirical results show that the CDS influences the behaviour of public debt bonds",

keywords = "Credit default swaps, credit derivatives, credit risk, dynamic conditional correlation, sovereign debt",

author = "Arroyo, {Jeimy Lorena Mart{\'i}nez} and Rodr{\'i}guez, {Nini Johana Mar{\'i}n}",

year = "2021",

doi = "10.15446/cuad.econ.v40n83.81997",

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PY - 2021

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N2 - We analyse how the Credit Default Swaps (CDS) are related to sovereign risk in Brazil, Chile, Colombia, and Mexico, during the period 2010-2019. Dynamic conditional correlation (DCC) models and Granger causality tests are estimated. There is a decreasing general trend in the correlations of the last years of the sample, which can be explained by an improvement in the sovereign debt credit rating and a fall in investment risk in Colombia, Chile, and Brazil. In addition, the empirical results show that the CDS influences the behaviour of public debt bonds

AB - We analyse how the Credit Default Swaps (CDS) are related to sovereign risk in Brazil, Chile, Colombia, and Mexico, during the period 2010-2019. Dynamic conditional correlation (DCC) models and Granger causality tests are estimated. There is a decreasing general trend in the correlations of the last years of the sample, which can be explained by an improvement in the sovereign debt credit rating and a fall in investment risk in Colombia, Chile, and Brazil. In addition, the empirical results show that the CDS influences the behaviour of public debt bonds

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Relación Dinámica Entre Los Credit Default Swaps Y La Deuda Pública. Análisis En El Contexto Latinoamericano

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