Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries
| dc.contributor.author | Rikhotso, Prayer M. | |
| dc.contributor.author | Simo-Kengne, Beatrice D. | |
| dc.date.accessioned | 2022-04-13T09:02:13Z | |
| dc.date.available | 2022-04-13T09:02:13Z | |
| dc.date.issued | 2022-02-26 | |
| dc.date.updated | 2022-03-24T14:47:02Z | |
| dc.description.abstract | This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk factors in BRICS countries using a copula approach, which is popular for capturing the “true” tail dependence based on the “distribution-adjusted” joint marginals. The empirical results show that global market risk sentiment comoves with sovereign CDS spreads across BRICS countries under extreme market events such as the pandemic-induced crash of 2020, with Brazil reporting the highest bilateral convergence followed by China, Russia, and South Africa. Furthermore, oil price volatility is the second biggest risk factor correlated with CDS spreads for Brazil and South Africa, while exchange rate risk exhibits very low co-dependence with CDS spreads during extreme market downturns. On the contrary, exchange rate risk is the second largest risk factor co-moving with China and Russia’s CDS spreads, while oil price volatility exhibits the lowest co-dependence with CDS in these countries. Between oil price and currency risk, evidence of single risk factor dominance is found for Russia, where exchange rate risk is largely dominant, and policymakers could promulgate financial sector regulations that mitigate spill-over risks such as targeted capital controls when markets are distressed. | |
| dc.identifier | doi: 10.3390/jrfm15030109 | |
| dc.identifier.apacitation | Rikhotso, Prayer M., & Simo-Kengne, Beatrice D. (2022). Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries. <i>Journal of Risk and Financial Management</i>, 15(3), http://hdl.handle.net/11427/36359 | en_ZA |
| dc.identifier.chicagocitation | Rikhotso, Prayer M., and Beatrice D. Simo-Kengne "Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries." <i>Journal of Risk and Financial Management</i> 15, 3. (2022) http://hdl.handle.net/11427/36359 | en_ZA |
| dc.identifier.citation | Journal of Risk and Financial Management 15 (3): 109 (2022) | |
| dc.identifier.ris | TY - Journal Article AU - Rikhotso, Prayer M. AU - Simo-Kengne, Beatrice D. AB - This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk factors in BRICS countries using a copula approach, which is popular for capturing the “true” tail dependence based on the “distribution-adjusted” joint marginals. The empirical results show that global market risk sentiment comoves with sovereign CDS spreads across BRICS countries under extreme market events such as the pandemic-induced crash of 2020, with Brazil reporting the highest bilateral convergence followed by China, Russia, and South Africa. Furthermore, oil price volatility is the second biggest risk factor correlated with CDS spreads for Brazil and South Africa, while exchange rate risk exhibits very low co-dependence with CDS spreads during extreme market downturns. On the contrary, exchange rate risk is the second largest risk factor co-moving with China and Russia’s CDS spreads, while oil price volatility exhibits the lowest co-dependence with CDS in these countries. Between oil price and currency risk, evidence of single risk factor dominance is found for Russia, where exchange rate risk is largely dominant, and policymakers could promulgate financial sector regulations that mitigate spill-over risks such as targeted capital controls when markets are distressed. DA - 2022-02-26 DB - OpenUCT DP - University of Cape Town IS - 3 J1 - Journal of Risk and Financial Management KW - global risk factors KW - credit default swaps KW - sovereign credit risk KW - copula approach LK - https://open.uct.ac.za PY - 2022 T1 - Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries TI - Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries UR - http://hdl.handle.net/11427/36359 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/36359 | |
| dc.identifier.uri | https://doi.org/10.3390/jrfm15030109 | |
| dc.identifier.vancouvercitation | Rikhotso Prayer M, Simo-Kengne Beatrice D. Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries. Journal of Risk and Financial Management. 2022;15(3) http://hdl.handle.net/11427/36359. | en_ZA |
| dc.publisher | Multidisciplinary Digital Publishing Institute | |
| dc.rights.license | https://creativecommons.org/licenses/by/4.0/ | |
| dc.rights.license | http://creativecommons.org/licenses/by/4.0/ | |
| dc.source | Journal of Risk and Financial Management | |
| dc.source.journalissue | 3 | |
| dc.source.journalvolume | 15 | |
| dc.source.uri | https://www.mdpi.com/journal/jrfm | |
| dc.subject | global risk factors | |
| dc.subject | credit default swaps | |
| dc.subject | sovereign credit risk | |
| dc.subject | copula approach | |
| dc.title | Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries | |
| dc.type | Journal Article |