Credit Default Swap Markets in the Global Economy : An Empirical Analysis book cover
1st Edition

Credit Default Swap Markets in the Global Economy
An Empirical Analysis





ISBN 9780367504212
Published December 18, 2020 by Routledge
180 Pages 28 B/W Illustrations

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Book Description

This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were 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. It covers not only well-studied sovereign credit default swap markets but also sector credit default swap indices (i.e., CDS index for the banking sector) and corporate credit default swap indices (i.e., Markit iTraxx Japan CDS index), which have not been fully examined by the previous literature. The book also investigates causality and co-movement among several credit default swap markets, or between CDS and other financial markets.

Table of Contents

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

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Author(s)

Biography

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).