Skip to main content

Research Repository

Advanced Search

Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation

Lu, M.; Passariello, M.; Wang, X.

Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation Thumbnail


Authors

M. Lu

M. Passariello



Abstract

We assess the efficiency of the sovereign credit default swap (CDS) market by investigating how sovereign CDS spreads react to macroeconomic news announcements. Contrary to the vast majority of the existing literature, one of our main findings supports the hypothesis that news announcements reduce market uncertainty and, thus, that both better- and worse-than-expected news lower CDS prices during our sample period. In addition, we find that CDS spreads respond differently to the four macroindicators across the three different regions. Our findings might help investors in these areas to interpret the surprises of macronews announcements when making decisions in CDS markets.

Citation

Lu, M., Passariello, M., & Wang, X. (2021). Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation. Complexity, 2021, Article 5568698. https://doi.org/10.1155/2021/5568698

Journal Article Type Article
Acceptance Date Jul 14, 2021
Online Publication Date Jul 30, 2021
Publication Date Sep 1, 2021
Deposit Date Sep 9, 2021
Publicly Available Date Mar 28, 2024
Journal Complexity
Print ISSN 1076-2787
Electronic ISSN 1099-0526
Publisher Hindawi
Peer Reviewed Peer Reviewed
Volume 2021
Article Number 5568698
DOI https://doi.org/10.1155/2021/5568698
Public URL https://durham-repository.worktribe.com/output/1235146

Files

Published Journal Article (1.3 Mb)
PDF

Publisher Licence URL
http://creativecommons.org/licenses/by/4.0/

Copyright Statement
Copyright © 2021 Min Lu et al. &is is an open access article distributed under the Creative Commons Attribution License, which
permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.




You might also like



Downloadable Citations