US macroeconomic surprises and the emerging‐market sovereign CDS market
研究美国宏观经济意外如何影响新兴市场主权CDS利差的期限结构斜率，发现正面意外降低斜率、负面意外提高斜率，且斜率对未来市场回报有预测作用。
Abstract Our primary aim is to examine whether US macroeconomic surprises affect the slope of the term structure of ‘sovereign credit default swap’ (SCDS) spreads in emerging markets. Our empirical results show that positive (negative) US macroeconomic surprises are likely to reduce (increase) the term structure slope of SCDS spreads in emerging countries. We find that the slope values in emerging markets are positively related to future market returns over 1‐ and 2‐day horizons. Our results provide general support for the future informational role played by SCDS spreads for the national stock market within emerging markets.