Spillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach

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dc.authoridKışla, Gül Şerife Huyugüzel/0000-0002-0901-2038
dc.authoridMuradoglu, Gulnur/0000-0002-6392-6746
dc.authoridÖnder, A. Özlem/0000-0002-8903-8931
dc.authorscopusid57200042794
dc.authorscopusid6602212891
dc.authorscopusid57198066156
dc.authorwosidKışla, Gül Şerife Huyugüzel/H-2118-2016
dc.authorwosidMuradoglu, Gulnur/HHM-5469-2022
dc.authorwosidÖnder, A. Özlem/AAH-8403-2019
dc.contributor.authorKisla, Gul Huyuguzel
dc.contributor.authorMuradoglu, Y. Gulnur
dc.contributor.authorOnder, A. Ozlem
dc.date.accessioned2023-01-12T19:58:54Z
dc.date.available2023-01-12T19:58:54Z
dc.date.issued2022
dc.departmentN/A/Departmenten_US
dc.description.abstractThis paper examines the interactions among CDS spreads across 13 European countries using spatial econometrics techniques. Our model allows for the estimation of direct and indirect transmission of sovereign risk and feedback effects across the network of these countries. The novelty of this paper is to link macroeconomic variables and CDS spreads in a new context of analysis to uncover new channels affecting sovereign risk across countries during the European debt crisis. We show that the key channel in driving sovereign risk spillovers is trade linkages between the countries. Our results also reveal that a country's CDS spread is approximately 7 basis points (bps) higher for a 1% increase in public debt-to-GDP levels while that increase in indebtedness is associated with roughly 2 bps higher spreads in all other countries.en_US
dc.description.sponsorshipTUBITAK [113K369]en_US
dc.description.sponsorshipThis study is supported by TUBITAK (Project Number: 113K369).en_US
dc.identifier.doi10.1057/s41260-022-00263-3
dc.identifier.endpage296en_US
dc.identifier.issn1470-8272
dc.identifier.issn1479-179X
dc.identifier.issn1470-8272en_US
dc.identifier.issn1479-179Xen_US
dc.identifier.issue4en_US
dc.identifier.scopus2-s2.0-85126111285en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.startpage277en_US
dc.identifier.urihttps://doi.org/10.1057/s41260-022-00263-3
dc.identifier.urihttps://hdl.handle.net/11454/77043
dc.identifier.volume23en_US
dc.identifier.wosWOS:000767723500001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherPalgrave Macmillan Ltden_US
dc.relation.ispartofJournal Of Asset Managementen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCDS spreadsen_US
dc.subjectEuropean debt crisisen_US
dc.subjectSpatial econometricsen_US
dc.subjectSovereign risken_US
dc.subjectGovernment debten_US
dc.subjectRisk Spilloversen_US
dc.subjectContagionen_US
dc.subjectDeterminantsen_US
dc.subjectTransmissionen_US
dc.subjectDynamicsen_US
dc.subjectMarketsen_US
dc.subjectPolicyen_US
dc.subjectLongen_US
dc.titleSpillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approachen_US
dc.typeArticleen_US

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