1st Edition

Credit Default Swap Markets in the Global Economy An Empirical Analysis

By Go Tamakoshi, Shigeyuki Hamori Copyright 2018
    180 Pages 28 B/W Illustrations
    by Routledge

    180 Pages 28 B/W Illustrations
    by Routledge

    This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time series data. It covers not only well-studied sovereign credit default swap markets but also sector credit default swap indices (i.e., CDS index for the banking sector) and corporate credit default swap indices (i.e., Markit iTraxx Japan CDS index), which have not been fully examined by the previous literature. The book also investigates causality and co-movement among several credit default swap markets, or between CDS and other financial markets.

    Introduction

    Part I: Sovereign CDS Markets

    1. Relationship Between Sovereign CDS and Banking Sector CDS

    2. Key Determinants of Sovereign CDS Spreads

    3. Dynamic Spillover Among Sovereign CDS Spreads

    Part II: Sector-Level CDS Markets

    4. Causality Among Financial Sector CDS Indices

    5. Co-Movement and Spillovers Among Financial Sector CDS Indices

    6. Dependence Structure of Insurance Sector CDS Indices

    7. Time-Varying Correlation Among Bank Sector CDS Indices

    Part III: Firm-Level CDS Markets

    8. Dynamic Correlation Among Banks’ CDS Spreads

    9. Dependence Structures Among Corporate CDS Indices

    10. Interdependence Between Corporate CDS Indices: Application of Continuous Wavelet Transform

    Concluding Chapter

    Biography

    Go Tamakoshi is Research Fellow at the Department of Economics of Kobe University, Japan. He received his PhD in Economics from Kobe University and an MBA from MIT Sloan School of Management. He has published many papers in refereed journals. He is the co-author of The European Sovereign Debt Crisis and Its Impacts on Financial Markets (Routledge, 2015).

    Shigeyuki Hamori is a Professor of Economics at Kobe University, Japan. He received his PhD from Duke University and has published many papers in refereed journals. His titles include Introduction of the Euro and the Monetary Policy of the European Central Bank (World Scientific, 2009), The European Sovereign Debt Crisis and Its Impacts on Financial Markets (Routledge, 2015), and Financial Globalization and Regionalism in East Asia (Routledge, 2014).