EPU spillovers and sovereign CDS spreads: A cross‐country study
研究了全球经济政策不确定性溢出对21个国家主权CDS利差的影响，发现溢出效应显著且正向，在发达市场更强，且不受多种风险因素影响。
Abstract This paper examines the spillover effect of global economic policy uncertainty (EPU) on sovereign credit default swap (CDS) spreads in a sample of 21 countries. We use a multivariate quantile model to measure EPU spillovers for each country and find that global EPU spillovers have a significant and positive effect on subsequent CDS spreads in both developed and emerging markets. The spillover effect is stronger in developed markets compared to emerging markets. The positive relationship between EPU spillovers and CDS spreads remain significant when controlling for various economic, financial, and political risk factors. Our results are robust to alternative measures of EPU spillovers and sovereign credit risk, across different forecast horizons, and to potential endogeneity resulting from omitted variables.