Credit Default Swap Markets in the Global Economy: An Empirical Analysis

ISBN-13: 9780367504212 / Angielski / Miękka / 2020 / 170 str.

Go Tamakoshi; Shigeyuki Hamori

Opis

This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching on how they had been affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time-series data.

Spis treści

Introduction  Part I: Sovereign CDS Markets  1. Relationship Between Sovereign CDS and Banking Sector CDS  2. Key Determinants of Sovereign CDS Spreads  3. Dynamic Spillover Among Sovereign CDS Spreads  Part II: Sector-Level CDS Markets  4. Causality Among Financial Sector CDS Indices  5. Co-Movement and Spillovers Among Financial Sector CDS Indices  6. Dependence Structure of Insurance Sector CDS Indices  7. Time-Varying Correlation Among Bank Sector CDS Indices  Part III: Firm-Level CDS Markets  8. Dynamic Correlation Among Banks’ CDS Spreads  9. Dependence Structures Among Corporate CDS Indices  10. Interdependence Between Corporate CDS Indices: Application of Continuous Wavelet Transform  Concluding Chapter

O autorze

Go Tamakoshi is Research Fellow at the Department of Economics of Kobe University, Japan. He received his PhD in Economics from Kobe University and an MBA from MIT Sloan School of Management. He has published many papers in refereed journals. He is the co-author of The European Sovereign Debt Crisis and Its Impacts on Financial Markets (Routledge, 2015).

Shigeyuki Hamori is a Professor of Economics at Kobe University, Japan. He received his PhD from Duke University and has published many papers in refereed journals. His titles include Introduction of the Euro and the Monetary Policy of the European Central Bank (World Scientific, 2009), The European Sovereign Debt Crisis and Its Impacts on Financial Markets (Routledge, 2015), and Financial Globalization and Regionalism in East Asia (Routledge, 2014).