SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR | Zendy

Moch. Doddy Ariefianto | Zendy; Soenartomo Soepomo | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR

Author(s) -

Moch. Doddy Ariefianto,

Soenartomo Soepomo

Publication year - 2011

Publication title -

deleted journal

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.505

H-Index - 4

ISSN - 1410-8046

DOI - 10.21098/bemp.v14i1.77

Subject(s) - risk appetite , sovereign credit , economics , panel data , credit spread (options) , credit risk , credit default swap , risk premium , swap (finance) , sovereignty , financial economics , econometrics , monetary economics , business , actuarial science , finance , risk management , politics , political science , law

This study conducts econometric analysis CDS Premium relations towards variables usually used as a sovereign rating explanatory. Estimation with data panel econometric found that global risk appetite is the most important influencing variable followed by foreign exchange reserve and yield spread. This item is consistent with the existing empiric literature and shows a high correlation between developing countries economy and world economic cycle. JEL Classification : F34, F32, G13, G15, C23 Keywords: Sovereign Risk, Credit Default Swap, Panel Data

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research