全球金融周期与压力事件期间新兴市场的国家风险：Copula-CoVaR方法

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE Research in International Business and Finance Pub Date : 2024-10-05 DOI:10.1016/j.ribaf.2024.102601

Luis Fernando Melo-Velandia , José Vicente Romero , Mahicol Stiben Ramírez-González

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引用次数: 0

摘要

本文研究了 11 个新兴市场的新兴市场主权信用违约掉期（CDS）和全球金融周期（GFC）的尾部依赖结构。利用 Copula-CoVaR 估计，我们发现以 VIX 波动率指数为代表的全球金融风暴与新兴市场 CDS 之间存在显著的尾部依赖关系。在全球金融市场陷入困境的背景下，这些结果至关重要。此外，我们的结果还有助于评估 CDS 动态，并提供了一个超越传统 CoVaR 的更合适的主权风险分析指标。此外，我们还提出了更多证据，支持全球金融周期在 2004 年至 2022 年不同时期的主权风险动态中的重要性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Global Financial Cycle and country risk in emerging markets during stress episodes: A Copula-CoVaR approach

This paper investigates the tail-dependence structure of emerging market sovereign credit default swaps (CDS) and the Global Financial Cycle (GFC) across eleven emerging markets. Using Copula-CoVaR estimations, we find significant tail-dependence between the GFC, represented by the VIX Volatility Index, and emerging market CDS. These results are essential in the context of distressed global financial markets. Furthermore, our results help evaluate CDS dynamics and provide a more suitable metric to analyze sovereign risk beyond the traditional CoVaR. Moreover, we present additional evidence supporting the importance of the global financial cycle in sovereign risk dynamics in different episodes from 2004 to 2022.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance