The Drivers of Sovereign CDS Spread Changes: Local Versus Global Factors
使用34个国家面板数据，研究主权CDS利差决定因素的区域差异，发现全球因素普遍驱动利差，但信用评级变化仅在高分位数显著，且拉美地区共同性更强。
Abstract We use daily data for a panel of 34 countries to investigate regional differences in sovereign credit default swaps (CDS) spread determinants and the significance of local versus global market factors. Similar to prior studies, we find a high level of commonality among CDS spreads, but our results show that this effect is stronger in Latin American CDS. The results of our quantile panel regression model show that although global forces drive spreads across the conditional distribution, changes in credit ratings are significant in explaining CDS spreads only in the upper quantiles. We also confirm the existence of regional differences in spread determinants.