文章基本信息

标题：SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR
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作者：Moch Doddy Ariefianto ; Soenartomo Soepomo
期刊名称：Bulletin Ekonomi Moneter dan Perbankan
印刷版ISSN：1410-8046
电子版ISSN：2460-9196
出版年度：2011
卷号：14
期号：1
页码：31-49
DOI：10.21098/bemp.v14i1.77
出版社：Bank Indonesia
摘要：This study conducts econometric analysis CDS Premium relations towards variables usually used as a sovereign rating explanatory. Estimation with data panel econometric found that global risk appetite is the most important influencing variable followed by foreign exchange reserve and yield spread. This item is consistent with the existing empiric literature and shows a high correlation between developing countries economy and world economic cycle.
关键词：Sovereign Risk; Credit Default Swap; Panel Data