MACROECONOMIC DETERMINANTS OF CDS: THE CASE OF EUROPE

Hamit Can, Mariya Paskaleva

Abstract


The aim of the this study is to analyze the impact of the macroeconomic sphere on the dynamics of European sovereign swaps in following period 2003-2016 for seven European countries (Bugaria, Romania, Portugal, Italy, Ireland, Greece and Spain). Eurozone membership is a variable that has a significant impact on the spreads of debt swaps.

Keywords


Credit Default Swaps, Macroeconomic determinants, OLS regression

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References


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