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政大典藏 > College of Commerce > Department of Finance > Periodical Articles > Item 140.119/76039

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/76039

Title:	Default correlation at the sovereign level: Evidence from some latin american markets
Authors:	Chen, Y.-H.;Wang, K.;Tu, Anthony H. 杜化宇
Contributors:	財管系
Keywords:	credit provision;debt;financial crisis;financial market;financial policy;policy making;sovereignty;Argentina;Brazil;Latin America;Mexico [North America];Venezuela
Date:	2011-04
Issue Date:	2015-06-22 16:03:04 (UTC+8)
Abstract:	Using the eruption of Argentina debt crisis in 2001 as a natural experiment, we investigated the correlated default at the sovereign level for some Latin American countries. Daily closing market quotes for sovereign Credit Default Swaps (CDS) of Argentina, Brazil, Mexico and Venezuela were obtained from CreditTrade database. Using copula approach, we observed increased dependences among sovereign CDS markets during the crisis period. Their dependence structures were found to be asymmetric. Moreover, the degree of credit contagion was related to the creditworthiness of the country. This study also discussed the implications of these findings for policymakers. © 2011 Taylor & Francis.
Relation:	Applied Economics, 43(11), 1399-1411
Data Type:	article
DOI link:	http://dx.doi.org/10.1080/00036840802600467
DOI:	10.1080/00036840802600467
Appears in Collections:	[Department of Finance] Periodical Articles

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