We investigate the impact of macroeconomic news on sovereign credit default swap (CDS) pricing and volatility. The impact of domestic news and foreign news from China, the U.S. and the Eurozone have been examined on nineteen countries over the period Nov 2007 - Mar 2012. Furthermore, panel estimations are conducted to evaluate the impact of intra-regional and interregional spillover news on the pricing and volatility of sovereign CDS spreads. We find that there are unambiguous asymmetric news effects on sovereign CDS markets as better than expected news tend to reduce national CDS spreads, whilst worse than expected news have the opposite effects. We also report significant news spillover effects. In general, EMEA and Americas respond in opposite directions to spillover news from other regions. Whereas EMEA have same spread and volatility response pattern across all regional countries, news from the U.S. and China elicit opposite effects across EMEA on the one hand and APA and Americas on the other.
Keywords: sovereign credit default swap spreads, sovereign risk, Macroeconomic news spillovers
JEL: G1, F3
학회소식
[2013년 제 4차] Spillover news effects from the US, the Eurozone an
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게시일 :
2013-12-16
