Journal
ECONOMICS LETTERS
Volume 159, Issue -, Pages 74-77Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2017.07.020
Keywords
Emerging market; CDS; Global risk appetite; Fixed effect panel regression
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We use fixed effects panel regressions to identify the macroeconomic factors driving the heterogeneity in the sensitivity of credit default swap (CDS) premium to changes in the global risk factor across emerging markets. The panel regression results indicate that countries with lower government debt and higher reserves tend to be less subject to the variations in the global risk appetite. (C) 2017 Elsevier B.V. All rights reserved.
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