Regime-Dependent Determinants of China's Sovereign Credit Default Swap Spread

作者：Qian, Zongxin^*; Luo, Qian

来源：Emerging Markets Finance and Trade, 2016, 52(1): 10-21.

DOI：10.1080/1540496X.2015.1062293

• China
• contagion
• regime switching
• sovereign CDS

We study the determinants of China's sovereign credit default swap (CDS) spread in a regime-switching framework. This framework allows us to identify potential cross-asset-class contagion from global financial markets to China. To avoid endogeneity biases coming from domestic costs of sovereign default, we model domestic financial indicators as endogenous variables and estimate the regime-switching model with instrumental variables. We find strong evidence of cross-asset-class contagion but no evidence of contagion from sovereign CDS markets of China's major trade partners (the European Union, Japan, and the United States).

• 出版日期2016-1
• 单位中国人民大学; 北京有色金属研究总院