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- W4229063014 abstract "Assessing the dynamics of risk premium measures and its relationship with macroeconomic fundamentals is important for both macroeconomic policymakers and market practitioners. This paper analyzes the main determinants of CDS in Latin-America at different tenures, focusing on their volatility. Using a component GARCH model, we decompose volatility between permanent and transitory components. We find that the permanent component of CDS volatility in all tenors was higher and more persistent in the global financial crisis than during the recent COVID-19 shock. JEL Classification: C22, C58, G01, G15. Keywords: Credit default swaps (CDS), CDS in Latin-American countries, sovereign risk, volatility, crisis, component GARCH models" @default.
- W4229063014 created "2022-05-08" @default.
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- W4229063014 date "2022-05-09" @default.
- W4229063014 modified "2023-10-17" @default.
- W4229063014 title "Modelling CDS Volatility at Different Tenures: An Application for Latin-American Countries" @default.
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- W4229063014 doi "https://doi.org/10.32468/be.1199" @default.
- W4229063014 hasPublicationYear "2022" @default.
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