SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR

Authors

Moch Doddy Ariefianto
Soenartomo Soepomo

Document Type

Article

Abstract

This study conducts econometric analysis CDS Premium relations towards variables usually used as a sovereign rating explanatory. Estimation with data panel econometric found that global risk appetite is the most important influencing variable followed by foreign exchange reserve and yield spread. This item is consistent with the existing empiric literature and shows a high correlation between developing countries economy and world economic cycle.

Recommended Citation

Ariefianto, Moch Doddy and Soepomo, Soenartomo (2011) "SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR," Bulletin of Monetary Economics and Banking: Vol. 14: No. 1, Article 8.
DOI: https://doi.org/10.21098/bemp.v14i1.77
Available at: https://bulletin.bmeb-bi.org/bmeb/vol14/iss1/8

First Page

31

Last Page

49

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Indonesia

Affiliation

Ma Chung University Malang