Asymmetric convergence and risk shift in the TED spreads

Hammoudeh, Shawkat; Chen, Li-Hsueh; Yuan, Yuan

doi:10.1016/j.najef.2011.05.001

Cited by 9 publications

(4 citation statements)

References 31 publications

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“…In contrast, this study relates the financial CDSs to six measures of credit, market and inflation risks. Hammoudeh, Chen and Yuan (2011) discuss in those bivariate models the asymmetric adjustments between TED spreads of different adjustments, without including the CDS spreads in the analysis. Hammoudeh and Sari (2011) employ the URDL approach to the relationship between the financial CDS spread indices of the banking, financial services and insurance sectors, and short‐ and long‐term Treasury securities and the Standard & Poor's (S&P) 500 index, with no account of other measures of financial stress and risks.…”

Section: Literature Reviewmentioning

confidence: 99%

Relationships between Financial Sectors’ CDS Spreads and Other Gauges of Risk: Did the Great Recession Change Them?

Hammoudeh

Bhar

Liu

2013

The Financial Review

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The objectives are to discern how the three financial sectors' credit default swap (CDS) spreads interrelate to each other and with three other risks in terms of possible contagion, competition, interdependence and independence relations under the full sample and two subperiods: the 2007 Great Recession and the 2009 Recovery, and to assess the impact of QE1 on those risks in the second subperiod. The results indicate that the own and cross-effects among the CDSs and the other risk measures are significant and mixed, but all in all contagion is dominant. The system has become less stable and less adjusting to the equilibrium The authors are especially grateful to Editor Bonnie Van Ness and an anonymous reviewer for many helpful comments. They also thank Kyongwook Choi, Farooq Malik, and Michael McAleer for responding to their questions and providing valuable comments. C 2013, The Eastern Finance Association 151 152 S. Hammoudeh et al./The Financial Review 48 (2013) 151-178in the first subperiod. QE1 in the second period decreases risks but increases inflationary expectations.

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Section: Literature Reviewmentioning

confidence: 99%

Relationships between Financial Sectors’ CDS Spreads and Other Gauges of Risk: Did the Great Recession Change Them?

Hammoudeh

Bhar

Liu

2013

The Financial Review

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“…These variables have already been used in other studies focusing on CDS dynamics: Pan and Singleton (2008), Fontana and Scheicher (2010), Ang and Longstaff (2011); Longstaff, Pan, Pedersen, and Singleton (in press); and Caporin, Pelizzon, Ravazzolo, and Rigobon (2012). Moreover, our choices are linked to the literature focusing on the interconnection between CDS and other macroeconomic variables, see Hammoudeh and Sari (2011), Hammoudeh, Bhar, and Liu (in press), and Hammoudeh, Chen, and Yuan (2011).…”

Section: Hedging Equity Risk With Cdsmentioning

confidence: 99%

Equity and CDS sector indices: Dynamic models and risk hedging

Caporin

2013

The North American Journal of Economics and Finance

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“…In contrast, this study relates the financial CDSs to six measures of credit, market and inflation risks. Hammoudeh, Chen and Yuan (2011) discuss in those bivariate models the asymmetric adjustments between TED spreads of different adjustments, without including the CDS spreads in the analysis. Hammoudeh and Sari (2011) During high-risk periods, several studies (e.g., Wang and Moore, 2012) find the CDS market responds faster to changes in credit conditions than bond markets.…”

Section: Literature Reviewmentioning

confidence: 99%