Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach

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• 作者：Syed Jawad Hussain Shahzad^a ; ^b ; ^c ; ^{jawad.kazmi5@gmail.com} ; Safwan Mohd Nor^d ; ^e ; ^{safwan@umt.edu.my} ; Roman Ferrer^f ; ^{Roman.Ferrer@uv.es} ; Shawkat Hammoudeh^c ; ^g ; ^{hammousm@drexel.edu}
• 关键词：C32 ; E52 ; F65 ; G01
• 刊名：Economic Modelling
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：60
• 期：Complete
• 页码：211-230
• 全文大小：1144 K
• 卷排序：60

文摘

Nonlinear determinants of US CDS spreads at industry level are examined. Several macroeconomic and financial variables are considered. The NARDL approach is applied. Significant asymmetries between industry CDS spreads and their determinants are found. Important implications for CDS market participants and policy makers are provided.