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    The cross-country transmission of credit risk between sovereigns and firms in Asia

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    IREF_Revised_Clear_Version.pdf
    Embargo:
    2022-05-17
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    Authors
    Yiling, Zha
    David, Power
    Nongnuch, Tantisantiwong
    Affiliation
    University of Derby
    University of Dundee
    Nottingham Trent University
    Issue Date
    2020-05-17
    
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    Abstract
    This paper uses Credit Default Swap (CDS) data for Asian reference entities to examine cross-country credit risk spillover effects between sovereigns and firms. Data for three East Asian countries (China, Japan and South Korea) over the period 2009-2018 are analysed. We analyse changes in the CDS spreads of a sovereign debtor and those of a foreign firm via a bivariate GARCH-full-BEKK model; thus, spillovers in mean spread changes as well as in volatility are considered. The main findings indicate that strong credit risk interdependence exists between the East Asian countries given that credit shocks from a common creditor such as Japan appear to spill over to the other two Asian nations. Compared to their non-financial counterparts, financial institutions are more sensitive than non-financial firms to changes in the credit risk of a foreign sovereign debtor; financial institutions such as banks may hold debt of foreign sovereigns which makes their CDSs sensitive to this source of credit risk.
    Citation
    Zha, Y., Power, D. and Tantisantiwong, N., (2020). 'The cross-country transmission of credit risk between sovereigns and firms in Asia'. The Quarterly Review of Economics and Finance, pp. 1-32.
    Publisher
    Elsevier
    Journal
    The Quarterly Review of Economics and Finance
    URI
    http://hdl.handle.net/10545/624813
    DOI
    10.1016/j.qref.2020.04.005
    Additional Links
    https://www.sciencedirect.com/science/article/pii/S1062976920300454?casa_token=c703XlSiLnMAAAAA:HIDfnJ9mlYKyuJ_MTsxzMEqqev5TSy2rDNWxxDLdqOFIy3Be6u_4yvKORnKxcusGqBLAfjcDrg
    Type
    Article
    Language
    en
    ISSN
    1062-9769
    ae974a485f413a2113503eed53cd6c53
    10.1016/j.qref.2020.04.005
    Scopus Count
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    Department of Social Sciences

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