Contagion in Major CDS Markets for the Post Global Financial Crisis: A Multivariate AR-FIGARCH-cDCC Approach

Argomenti, 2020

21 Pages Posted: 12 May 2021 Last revised: 13 May 2021

See all articles by Konstantinos Tsiaras

Konstantinos Tsiaras

Department of Economics

Theodore Simos

University of Ioannina - Department of Economics

Date Written: 2020

Abstract

We explore the time-varying conditional correlations of the Sovereing CDS spread returns for Germany, France, China and Japan against USA. We employ a cDCC-AR-FIGARCH model in order to capture potential contagion effects between the markets during the 2011-2018 post global financial crisis. Empirical results do not reject contagion for the country pairs: Germany – France, Germany – Japan and France – Japan while there is little support for contagion among China and the rest of the countries.

Keywords: Financial contagion, Global Financial Crisis, cDCC-AR-FIGARCH model, Sovereign CDS market

JEL Classification: C58, F30, G01, G15

Suggested Citation

Tsiaras, Konstantinos and Simos, Theodore, Contagion in Major CDS Markets for the Post Global Financial Crisis: A Multivariate AR-FIGARCH-cDCC Approach (2020). Argomenti, 2020, Available at SSRN: https://ssrn.com/abstract=3843896

Konstantinos Tsiaras (Contact Author)

Department of Economics ( email )

45110 Ioannina
Greece

Theodore Simos

University of Ioannina - Department of Economics ( email )

45110 Ioannina
Greece

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
14
Abstract Views
148
PlumX Metrics