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Applied Financial Economics Volume 20, 2010 - Issue 15
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Original Articles

Macroeconomic uncertainty and credit default swap spreads

Christopher F. Baum Department of Economics, Boston College, 140 Commonwealth Avenue, Chestnut Hill, MA 02467, USA; DIW Berlin, Innovation, Manufacturing, Service, Mohrenstraße 58, Berlin 10117, GermanyCorrespondence[email protected]
&
Chi Wan Department of Economics, Carleton University, 1125 Colonel By Drive, Ottawa, ON K1S 5B6, Canada
Pages 1163-1171 | Published online: 05 Jul 2010

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Van Dan Dang & Japan Huynh. (2023) How does uncertainty drive the bank lending channel of monetary policy?. Journal of the Asia Pacific Economy 0:0, pages 1-21.
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Bang Nam Jeon, Yao Yao, Minghua Chen & Ji Wu. (2022) The impact of macroprudential policies on bank risk under economic uncertainty: Evidence from emerging Asian economies. Journal of the Asia Pacific Economy 0:0, pages 1-32.
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Burkhard Raunig. (2015) Firm credit risk in normal times and during the crisis: are banks less risky?. Applied Economics 47:24, pages 2455-2469.
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HasanMurat Ertugrul & Huseyin Ozturk. (2013) The Drivers of Credit Default Swap Prices: Evidence from Selected Emerging Market Countries. Emerging Markets Finance and Trade 49:sup5, pages 228-249.
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Articles from other publishers (34)

Aamir Aijaz Syed. (2023) Economic policy uncertainty and Indian banking stability: the mediating role of regulation and supervision. Journal of Financial Regulation and Compliance.
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Nader Naifar. (2023) Does climate change affect sovereign credit risk? International evidence. Borsa Istanbul Review 23, pages S84-S95.
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Alena Audzeyeva & Xu Wang. (2023) Fundamentals, real-time uncertainty and CDS index spreads. Review of Quantitative Finance and Accounting 61:1, pages 1-33.
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Junmao Chiu, Wei‐Che Tsai & Chi Yin. (2022) US macroeconomic surprises and the emerging‐market sovereign CDS market. European Financial Management 29:2, pages 549-587.
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Ali Cüneyt ÇETİN. (2022) Kredi Temerrüt Takasları Primi ile BIST 100 Endeksi, Döviz Kuru ve Faiz Arasındaki İlişki: Türkiye ÖrneğiThe Relationship between Turkey’s Credit Default Swaps with BIST ‎‎100 Index, Exchange Rate and Interest Rate‎. Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 6:1, pages 39-77.
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Van Dan Dang & Hoang Chung Nguyen. (2022) Bank profitability under uncertainty. The Quarterly Review of Economics and Finance 83, pages 119-134.
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Nicholas Apergis, Dan Danuletiu & Bing Xu. (2022) CDS spreads and COVID-19 pandemic. Journal of International Financial Markets, Institutions and Money 76, pages 101433.
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Ji Wu, Yao Yao, Minghua Chen & Bang Nam Jeon. (2021) Does economic uncertainty affect the soundness of banks? Evidence from emerging Asian economies. Journal of Asian Economics 77, pages 101394.
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Simon Cottrell, Xiao Yu, Sarath Delpachitra & Yihong Ma. (2021) What determines wholesale funding costs of the global systemically important banks?. Journal of Banking & Finance 132, pages 106197.
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Mehmet Huseyin Bilgin, Gamze Ozturk Danisman, Ender Demir & Amine Tarazi. (2021) Economic uncertainty and bank stability: Conventional vs. Islamic banking. Journal of Financial Stability 56, pages 100911.
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Xiaoqing Fu, Matthew C. Li & Philip Molyneux. (2020) Credit default swap spreads: market conditions, firm performance, and the impact of the 2007–2009 financial crisis. Empirical Economics 60:5, pages 2203-2225.
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Tuğba AKIN & Emre IŞIKLI. (2020) The Relationship Between Credit Default Swap, Economic Growth and Current Account Deficit: A Case of TurkeyKredi Temerrüt Takası, Büyüme ve Cari Açık İlişkisi: Türkiye Örneği. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi 8:İktisadi ve İdari Bilimler, pages 91-98.
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Nader Naifar. (2020) What Explains the Sovereign Credit Default Swap Spreads Changes in the GCC Region?. Journal of Risk and Financial Management 13:10, pages 245.
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Ji Wu, Yao Yao, Minghua Chen & Bang Nam Jeon. (2020) Economic uncertainty and bank risk: Evidence from emerging economies. Journal of International Financial Markets, Institutions and Money 68, pages 101242.
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Nader Naifar, Syed Jawad Hussain Shahzad & Shawkat Hammoudeh. (2020) Dynamic nonlinear impacts of oil price returns and financial uncertainties on credit risks of oil-exporting countries. Energy Economics 88, pages 104747.
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Aman. (2019) Are CDS Spreads Sensitive to the Term Structure of the Yield Curve? A Sector-Wise Analysis under Various Market Conditions. Journal of Risk and Financial Management 12:4, pages 158.
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Miia Chabot, Jean-Louis Bertrand & Eric Thorez. (2019) Resilience of United Kingdom financial institutions to major uncertainty: A network analysis related to the Credit Default Swaps market. Journal of Business Research 101, pages 70-82.
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Mehmet DİNÇ, Ümit YILDIZ & Mustafa KIRCA. (2018) TÜRKİYE KREDİ RİSK PRİMİNDEKİ (CDS) YAPISAL KIRILMALARIN EKONOMETRİK ANALİZİECONOMETRIC ANALYSIS OF STRUCTURAL BREAKS IN TURKEY'S CREDIT DEFAULT SWAP (CDS). Uluslararası İktisadi ve İdari İncelemeler Dergisi, pages 181-192.
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John Pereira, Ghulam Sorwar & Mohamed Nurullah. (2018) What drives corporate CDS spreads? A comparison across US, UK and EU firms. Journal of International Financial Markets, Institutions and Money 56, pages 188-200.
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Jatin Malhotra & Angelo Corelli. (2018) The Determinants of CDS Spreads in Multiple Industry Sectors: A Comparison between the US and Europe. Risks 6:3, pages 89.
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Christopher L. Culp, Andria van der Merwe & Bettina J. StärkleChristopher L. Culp, Andria van der Merwe & Bettina J. Stärkle. 2018. Credit Default Swaps. Credit Default Swaps 157 192 .
Abdul Rashid, Farooq Ahmad & Ammara Yasmin. (2017) Exploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan. The Journal of Risk Finance 18:4, pages 368-380.
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Tong Suk Kim, Jae Won Park & Yuen Jung Park. (2017) Macroeconomic Conditions and Credit Default Swap Spread Changes. Journal of Futures Markets 37:8, pages 766-802.
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Reyes Samaniego-Medina, Antonio Trujillo-Ponce, Purificación Parrado-Martínez & Filippo di Pietro. (2016) Determinants of bank CDS spreads in Europe. Journal of Economics and Business 86, pages 1-15.
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Taly I. (2015) Study on Return and Volatility Spillover Effects among Stock, CDS, and Foreign Exchange Markets in Korea. East Asian Economic Review 19:3, pages 275-322.
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Suk-Joong Kim, Leith Salem & Eliza Wu. (2015) The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China. Journal of Financial Stability 18, pages 208-224.
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Luca Vincenzo Ballestra & Graziella Pacelli. (2014) Valuing risky debt: A new model combining structural information with the reduced-form approach. Insurance: Mathematics and Economics 55, pages 261-271.
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Di Wang, Rongxi Zhou, Yu Zhan & Qinghua Zheng. (2013) Model Formulation and Empirical Analyses on the Macro Factors Affecting Credit Spreads of Enterprise Bonds in China. Model Formulation and Empirical Analyses on the Macro Factors Affecting Credit Spreads of Enterprise Bonds in China.
Gamze Ozturk Danisman & Amine Tarazi. (2021) Economic Policy Uncertainty and Bank Stability. SSRN Electronic Journal.
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Bang Nam Jeon, Ji Wu, Yao Yao & Minghua Chen. (2019) Economic Uncertainty and Bank Risk: Evidence from Emerging Economies. SSRN Electronic Journal.
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Tong Suk Kim, Yuen Jung Park & Jaewon Park. (2013) Macroeconomic Conditions and Credit Default Swap (CDS) Spread Changes. SSRN Electronic Journal.
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Hasan Doluca. (2014) The Possible Breakup of the Euro Zone: Examining the Differences between Credit Default Swap Fees Nominated in Euro and US-Dollar During the Euro-Area Crisis.. SSRN Electronic Journal.
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Bilal Kargi. (2014) Credit Default Swap (CDS) Spreads: The Analysis of Time Series for the Integration with the Interest Rates and the Growth in Turkish Economy. SSRN Electronic Journal.
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Ine Van Robays. (2012) Macroeconomic Uncertainty and the Impact of Oil Shocks. SSRN Electronic Journal.
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