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    Title: Default correlation at the sovereign level: Evidence from some latin american markets
    Authors: Chen, Y.-H.;Wang, K.;Tu, Anthony H.
    杜化宇
    Contributors: 財管系
    Keywords: credit provision;debt;financial crisis;financial market;financial policy;policy making;sovereignty;Argentina;Brazil;Latin America;Mexico [North America];Venezuela
    Date: 2011-04
    Issue Date: 2015-06-22 16:03:04 (UTC+8)
    Abstract: Using the eruption of Argentina debt crisis in 2001 as a natural experiment, we investigated the correlated default at the sovereign level for some Latin American countries. Daily closing market quotes for sovereign Credit Default Swaps (CDS) of Argentina, Brazil, Mexico and Venezuela were obtained from CreditTrade database. Using copula approach, we observed increased dependences among sovereign CDS markets during the crisis period. Their dependence structures were found to be asymmetric. Moreover, the degree of credit contagion was related to the creditworthiness of the country. This study also discussed the implications of these findings for policymakers. © 2011 Taylor & Francis.
    Relation: Applied Economics, 43(11), 1399-1411
    Data Type: article
    DOI link: http://dx.doi.org/10.1080/00036840802600467
    DOI: 10.1080/00036840802600467
    Appears in Collections:[Department of Finance ] Periodical Articles

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