6533b7d4fe1ef96bd1261d4a

RESEARCH PRODUCT

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

Rebeca FernándezAna González-urteagaLaura Ballester

subject

Transmission channelBusiness cycleEconomicsStock marketMonetary economicsLead–lag compensatorStock (geology)

description

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.

yearjournalcountryeditionlanguage
2018-01-01
https://doi.org/10.1007/978-3-319-89824-7_16