Author: Rebeca Fernández

0000000000222371

AUTHOR

Rebeca Fernández

showing 1 related works from this author

An Empirical Analysis of the Lead Lag Relationship Between CDS and Stock Market

2018

This paper complements the recent literature providing a thorough research of the lead lag relationship between stock and sovereign CDS markets using a rolling VAR framework. We find that the transmission channel between the credit and stock market exist. This phenomenon is time varying, it seems to be related with the economic cycle and in general, it’s more intense in US than in Europe.

Transmission channelBusiness cycleEconomicsStock marketMonetary economicsLead–lag compensatorStock (geology)

researchProduct

PEPhysical Sciences and Engineering
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  - PE2_10Atomic, molecular physics
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LSLife Sciences
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SHSocial Sciences and Humanities
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