Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting
| dc.contributor.author | Lahiani, Amine | |
| dc.contributor.author | Hammoudeh, Shawkat | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2016-06-23T07:33:42Z | |
| dc.date.issued | 2016-05 | |
| dc.description.abstract | This paper investigates the asymmetric and nonlinear transmission of financial and energy prices to US five-year financial CDS sector index spreads for the banking, financial services and insurance sectors in the short- and long-run over the recent periods revolving around the global financial crisis. We employ the nonlinear ARDL (NARDL) model to account for the short- and long-run asymmetries in the sensitivity of those CDS sector index spreads to their determinants. Our findings suggest that there is evidence of short- and long-run nonlinearities and asymmetries in the adjustment process of the three CDS variables. There are also shortand long-run asymmetries in the influences of macroeconomic and financial variables on the CDS sector spreads. These findings are important for policymakers who deal with credit risks at the sector levels.JEL Codes: C32, F65, G01 | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2017-05-31 | |
| dc.description.librarian | hb2016 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/iref | en_ZA |
| dc.identifier.citation | Lahiani, A, Hammoudeh, S & Gupta, R 2016, 'Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting', International Review of Economics and Finance, vol. 43, pp. 443-456. | en_ZA |
| dc.identifier.issn | 1059-0560 (print) | |
| dc.identifier.issn | 1873-8036 (online) | |
| dc.identifier.other | 10.1016/j.iref.2016.01.007 | |
| dc.identifier.uri | http://hdl.handle.net/2263/53374 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2016 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in International Review of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Economics and Finance, vol. 43, pp. 443-456, 2016. doi : 10.1016/j.iref.2016.01.007. | en_ZA |
| dc.subject | Sector CDS | en_ZA |
| dc.subject | Financial crisis | en_ZA |
| dc.subject | Asymmetric adjustments | en_ZA |
| dc.subject | NARDL model | en_ZA |
| dc.subject | Credit default swap (CDS) | en_ZA |
| dc.subject | Nonlinear autoregressive distributed lags (NARDL) | en_ZA |
| dc.title | Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting | en_ZA |
| dc.type | Postprint Article | en_ZA |