Credit Default Swap Markets in the Global Economy

An Empirical Analysis
1. Auflage 2018
ISBN: 978-1-138-24472-6
Verlag: Taylor & Francis Ltd

Buch, Englisch, 180 Seiten, Format (B × H): 242 mm x 163 mm, Gewicht: 422 g

Reihe: Routledge Studies in the Modern World Economy

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.

Autoren/Hrsg.

Tamakoshi, Go (Kyoto University, Japan)

Tamakoshi, Go

Hamori, Shigeyuki (Kobe University, Japan)

Hamori, Shigeyuki

Fachgebiete

• Wirtschaftswissenschaften Wirtschaftswissenschaften Wirtschaftswissenschaften: Allgemeines

Inhaltsverzeichnis

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

Über Autor(innen)

Go Tamakoshi is Research Fellow at the Department of Economics of Kobe University, Japan. He received his PhD in Economics from Kobe University and anMBA 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), andFinancial Globalization and Regionalism in East Asia (Routledge, 2014).