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Title: The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis
Authors: Moore, T
Keywords: Credit default swap;Time-varying correlation;GARCH;Credit market integration
Issue Date: 2012
Publisher: Elsevier
Citation: Journal of International Financial Markets, Institutions and Money, 22(1), 1 - 15, 2012
Abstract: This paper investigates the integration of the credit default swap (CDS) markets of 38 developed and emerging countries with the US market during the subprime crisis period by utilising dynamic conditional correlation from the multivariate GARCH model. Evidence reveals that the Lehman shock seems to have strengthened the integration, in particular, for developed markets. For both developed and emerging markets, declining US interest rates are found to be the main driving factor behind the higher level of correlation, suggesting that the CDS markets were heavily driven by the world largest economy when the crisis reached its peak.
Description: This is the post-print version of the final paper published in Journal of International Financial Markets, Institutions and Money. The published article is available from the link below. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. Copyright @ 2011 Elsevier B.V.
ISSN: 1042-4431
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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