Regime Switching Determinants of the Japanese Sovereign Credit Default Swaps Spreads

Ofori, Samuel Kwabena

doi:10.7763/ijtef.2015.v6.457

Cited by 2 publications

(1 citation statement)

References 26 publications

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“…Instead of incorporating the sovereign credit risk in to the regime-switching model framework in the form of CDS spreads, Calice et al (2015) define the CDS term premium (i.e., the slope of CDS credit curve) a difference between CDS spreads at two different maturities, specifically 5 and 10 years to generate a forward-looking measure of idiosyncratic sovereign credit risk as perceived by financial markets, so that they differentiate between the unobserved components and their shortterm determinants. In those bourgeoning regime switching models, there are recently accumulated analyses on country specific cases for which the regime-specific determinants of sovereign CDS spreads are considered (Ofori, 2015;Qian and Luo, 2016).…”

Section: Literature Reviewmentioning

confidence: 99%

Regime Switching Determinants of Sovereign CDS Spreads: Evidence From Turkey

Polat¹

2017

EJEF

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In this study, it is assessed the main determinants of sovereign CDS spreads in Turkey from January 2006 to December 2015. Before delving into the nonlinear Markov regime-switching model estimation, a conventional one-state linear model is estimated answering to what extent the sovereign credit risk is affected in between global and country-specific market variables and by credit ratings announcement changes. In broad strokes, the regime-switching analysis reveals that among domestic variables, it is the foreign exchange rate that affects the sovereign credit risk more in more volatile periods and among global variables, the indicators standing for global volatility risk premiums and international liquidity primarily influence the changes in the sovereign CDS spread in turbulent regimes whereas proxies for global risk free rate are significant more in tranquil regimes.

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Section: Literature Reviewmentioning

confidence: 99%

Regime Switching Determinants of Sovereign CDS Spreads: Evidence From Turkey

Polat¹

2017

EJEF

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Central Bank Credibility as A Determinant of Sovereign Risk Premium: Evidence from Turkey

VARLIK,

ÖBEKCAN

2023

Bulletin of Economic Theory and Analysis

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Bu çalışmada Türkiye Cumhuriyet Merkez Bankası’nın (TCMB) kredibilitesinin Türkiye’nin CDS priminin bir belirleyicisi olup olmadığı Ocak 2008-Aralık 2022 dönemi için incelenmektedir. Çalışmanın bulguları Türkiye’nin CDS primi ile TCMB’nin kredibilitesi arasında uzun dönemli bir ilişki olduğunu göstermektedir. Merkez bankası kredibilitesinde meydana gelen artış CDS primini düşürürken; döviz kurunun değişim oranında ve enflasyon oranında meydana gelen artışlar ise CDS primini yükseltmektedir. Ayrıca hata düzeltme terimi, CDS primindeki bir sapmanın uzun dönem denge değerine hızla uyarlandığını göstermektedir. Dolayısıyla merkez bankasının enflasyon beklentilerini yönetmedeki başarısının ülke risk primini düşürmesi, para politikasının kurumsal çerçevesinin bağımsızlık, şeffaflık ve hesap verebilirlik ilkeleriyle iyileştirilmesini bir politika önerisi olarak ortaya koymaktadır.

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Regime Switching Determinants of the Japanese Sovereign Credit Default Swaps Spreads

Abstract: Index Terms-Japanese derivatives market, Markov switching models, non-linear models, sovereign credit default swaps.

Cited by 2 publications

References 26 publications

Regime Switching Determinants of Sovereign CDS Spreads: Evidence From Turkey

Regime Switching Determinants of Sovereign CDS Spreads: Evidence From Turkey

Central Bank Credibility as A Determinant of Sovereign Risk Premium: Evidence from Turkey

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