| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 1.7 MB | Adobe PDF |
Authors
Advisor(s)
Abstract(s)
O presente trabalho pretende analisar e modelizar a inversão da estrutura temporal dos spreads dos CDS, com o intuito de perceber se o impacto dos spreads dos CDS, em momentos de crise, pode ter sentidos inversos ao longo do tempo. Para responder a esta problemática foram analisados os spreads dos CDS soberanos da Itália, através de modelos econométricos, nomeadamente com recurso ao modelo Autoregressive Distributed Lag (ADL). Neste sentido, foi concluído que os spreads podem ter influências inversas nestes períodos e desta forma os modelos ADL representam eficazmente uma estrutura temporal dinâmica, em período de crise.
This paper aims to analyse and model the term structure inversion of the CDS spreads, in order to realize if the impact of CDS spreads reveal hump-shaped directions. Hence, to answer our question, we used econometric models; in concrete we use the ADL (Autoregressive Distributed Lag) model to investigate the spreads on CDS. We conclude that the spreads can have contradictory in times of crisis and thus ADL models are a good dynamic approach to spreads in these periods.
This paper aims to analyse and model the term structure inversion of the CDS spreads, in order to realize if the impact of CDS spreads reveal hump-shaped directions. Hence, to answer our question, we used econometric models; in concrete we use the ADL (Autoregressive Distributed Lag) model to investigate the spreads on CDS. We conclude that the spreads can have contradictory in times of crisis and thus ADL models are a good dynamic approach to spreads in these periods.
Description
Keywords
Estrutura temporal das taxas de juro Estrutura temporal dos spreads dos CDS Crise do euro Interest rates term structure CDS spreads term structure Euro crisis