Does Economic Policy Uncertainty Drive CDS Spreads?

dc.cclicenceN/Aen
dc.contributor.authorLambe, Brendanen
dc.contributor.authorWisiniewski, Tomaszen
dc.date.acceptance2015-10-01en
dc.date.accessioned2017-11-02T09:46:52Z
dc.date.available2017-11-02T09:46:52Z
dc.date.issued2015-12-01
dc.description.abstractThis study analyzes the dynamic interactions between changes in economic policy uncertainty and the fluctuations in the cost of credit protection. We find that the differenced iTraxx and CDX indices are Granger-caused by variations in the political environment. Within a vector autoregressive framework, impulse response functions show a significant reaction of the CDS spreads to shocks in the policy risk. Implied in these findings is the possibility that country-level risk can permeate to the corporations. Furthermore, financial institutions and traders should closely monitor political developments in order to better predict the CDS premia.en
dc.funderN/Aen
dc.identifier.citationLambe, B.J. and Wisinewski, T.P. (2015) Does Economic Policy Uncertainty Drive CDS Spreads? International Review of Financial Analysis, 42, pp. 447-458en
dc.identifier.doihttps://doi.org/10.1016/j.irfa.2015.09.009
dc.identifier.urihttp://hdl.handle.net/2086/14807
dc.peerreviewedYesen
dc.projectidN/Aen
dc.publisherElsevieren
dc.researchinstituteFinance and Banking Research Group (FiBRe)en
dc.subjectCredit default swapsen
dc.subjectCredit protectionen
dc.subjectEconomic policy uncertaintyen
dc.titleDoes Economic Policy Uncertainty Drive CDS Spreads?en
dc.typeArticleen

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