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Abstract(s)
Com este trabalho pretendemos decompor o risco no mercado de Credit Default Swaps de forma a perceber se para entidades soberanas da zona euro as variações de spread tiveram como fundamento apenas factores intrínsecos à própria entidade, ou se existiu contágio proveniente de outros países. Com base na literatura disponível formularam-se várias hipóteses, sendo que a generalidade apontava no sentido de que efectivamente os factores exógenos ao próprio país tiveram influência na volatilidade dos spreads.
Para a análise empírica recorremos a um modelo econométrico GARCH com variávies explicativas e com base em dados de CDS soberanos estimamos regressões que nos permitiram concluir que efectivamente o aumento do risco, medido como a volatilidade dos spreads de CDS em países como a Alemanha e a França não tiveram como única explicação factores de ordem intrínseca ao próprio país, mas que estes sofreram efeitos de contágio mediante a trasmissão de risco dos países periféricos, nomeadamente Grécia e Portugal no caso germânico, e Espanha, Itália e Grécia no caso gaulês.
In this paper we intend to decompose the risk in credit default swaps markets, in order to realize if the sovereign entities spread changes on the eurozone had only idiosyncratic factors behind, or whether there was contagion among countries. Based on the available literature several paths were designed, and many pointed toward the fact that exogenous factors influenced the spreads volatility. For the empiric analysis we use an econometric GARCH model with explanatory variables and based on the available data on sovereign CDS we estimate regressions that allow us to conclude that the increased risk in the CDS market for Germany and France, measured as the volatility of the spreads, was also explained by the transmission of peripheral countries risk like Portugal, Greece, Italy and Spain through contagion effects.
In this paper we intend to decompose the risk in credit default swaps markets, in order to realize if the sovereign entities spread changes on the eurozone had only idiosyncratic factors behind, or whether there was contagion among countries. Based on the available literature several paths were designed, and many pointed toward the fact that exogenous factors influenced the spreads volatility. For the empiric analysis we use an econometric GARCH model with explanatory variables and based on the available data on sovereign CDS we estimate regressions that allow us to conclude that the increased risk in the CDS market for Germany and France, measured as the volatility of the spreads, was also explained by the transmission of peripheral countries risk like Portugal, Greece, Italy and Spain through contagion effects.