{"title":"不同期限的主权信用违约掉期波动建模：拉丁美洲国家的应用","authors":"Fredy Gamboa-Estrada , José Vicente Romero","doi":"10.1016/j.bir.2024.04.008","DOIUrl":null,"url":null,"abstract":"<div><p>Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for macroeconomic policymakers and market practitioners. This study analyzes the main determinants of sovereign credit default swaps (SCDS) in Latin America at different tenures, focusing on their volatility. Using a component generalized autoregressive conditional heteroskedasticity model, it decomposes volatility into permanent and transitory components. It finds that the permanent component of SCDS volatility in all tenures was higher and more persistent during the Global Financial Crisis than during the recent coronavirus shock.</p></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":null,"pages":null},"PeriodicalIF":6.3000,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214845024000619/pdfft?md5=45623d4c54ed492a7b96d654325890f6&pid=1-s2.0-S2214845024000619-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Modeling sovereign credit default swaps volatility at different tenures: An application for Latin American countries\",\"authors\":\"Fredy Gamboa-Estrada , José Vicente Romero\",\"doi\":\"10.1016/j.bir.2024.04.008\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for macroeconomic policymakers and market practitioners. This study analyzes the main determinants of sovereign credit default swaps (SCDS) in Latin America at different tenures, focusing on their volatility. Using a component generalized autoregressive conditional heteroskedasticity model, it decomposes volatility into permanent and transitory components. It finds that the permanent component of SCDS volatility in all tenures was higher and more persistent during the Global Financial Crisis than during the recent coronavirus shock.</p></div>\",\"PeriodicalId\":46690,\"journal\":{\"name\":\"Borsa Istanbul Review\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":6.3000,\"publicationDate\":\"2024-07-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S2214845024000619/pdfft?md5=45623d4c54ed492a7b96d654325890f6&pid=1-s2.0-S2214845024000619-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Borsa Istanbul Review\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2214845024000619\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Borsa Istanbul Review","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2214845024000619","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Modeling sovereign credit default swaps volatility at different tenures: An application for Latin American countries
Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for macroeconomic policymakers and market practitioners. This study analyzes the main determinants of sovereign credit default swaps (SCDS) in Latin America at different tenures, focusing on their volatility. Using a component generalized autoregressive conditional heteroskedasticity model, it decomposes volatility into permanent and transitory components. It finds that the permanent component of SCDS volatility in all tenures was higher and more persistent during the Global Financial Crisis than during the recent coronavirus shock.
期刊介绍：
Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
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