The effect of economic and political uncertainty on sovereign CDS spreads
WF Pan, X Wang, Y Xiao, W Xu, J Zhang - International Review of …, 2024 - Elsevier
This study examines the effect of economic and political uncertainty on sovereign CDS
spreads using a novel panel index of world uncertainty. We document that sovereign CDS
spreads widen with uncertainty. A 1% increase in uncertainty leads to a 0.86% increase in
sovereign CDS spreads. Furthermore, the effect of uncertainty on sovereign CDS spreads is
stronger for developed countries, countries with investment-grade credit ratings, and during
non-crisis periods. The banking sector is a potential channel through which uncertainty …
spreads using a novel panel index of world uncertainty. We document that sovereign CDS
spreads widen with uncertainty. A 1% increase in uncertainty leads to a 0.86% increase in
sovereign CDS spreads. Furthermore, the effect of uncertainty on sovereign CDS spreads is
stronger for developed countries, countries with investment-grade credit ratings, and during
non-crisis periods. The banking sector is a potential channel through which uncertainty …
The effect of economic and political uncertainty on sovereign CDS spreads
This study examines the effect of economic and political uncertainty on sovereign CDS
spreads using a novel panel index of world uncertainty. We document that sovereign CDS
spreads widen with uncertainty. A 1% increase in uncertainty leads to a 0.86% increase in
sovereign CDS spreads. Furthermore, the effect of uncertainty on sovereign CDS spreads is
stronger for developed countries, countries with investment-grade credit ratings, and during
non-crisis periods. The banking sector is a potential channel through which uncertainty …
spreads using a novel panel index of world uncertainty. We document that sovereign CDS
spreads widen with uncertainty. A 1% increase in uncertainty leads to a 0.86% increase in
sovereign CDS spreads. Furthermore, the effect of uncertainty on sovereign CDS spreads is
stronger for developed countries, countries with investment-grade credit ratings, and during
non-crisis periods. The banking sector is a potential channel through which uncertainty …
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