文章基本信息

标题：Interconnectedness in Credit Market: An Empirical Investigation Using UK and US CDS Dat
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作者：Ramaprasad Bhar
期刊名称：Journal of Data Science
印刷版ISSN：1680-743X
电子版ISSN：1683-8602
出版年度：2016
卷号：14
期号：1
页码：19-32
出版社：Tingmao Publish Company
摘要：This paper uses a structural time series methodology to test the notion of interconnectedness between the UK and the US credit markets. The empirical tests utilise data on premium for the Banking sector credit default swaps (CDS) and covers the recent period of financial turmoil. The methodology based on Kalman filter is robust in the presence of limited convergence. The long-term steady state convergence in CDS premium is clearly noticeable between these two markets from the results. This observation lends support for the coordinated regulatory policy initiatives to deal with the crisis and offer suggestions for sound operations of the international financial systems.
关键词：Banking Sector; CDS; Convergence; Kalman filter