Macroeconomic Determinants of the Term Structure of Sovereign Credit Default Swap (CDS) Spread: Insights from MIDAS Regression
Arshad Khan,
Naveed Raza
Abstract:When investors seek to diversify their investment portfolios across countries to maximize returns, they also expose themselves to additional risks, including the risk of sovereign defaults, which is a growing concern for investors in many countries worldwide. To better understand the factors critical to sovereign defaults, this study aims to investigate the impact of both country-specific and global factors on the term structure of Sovereign Credit Default Swap (CDS) Spreads, which acts as gauges for the exten… Show more
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