Long and short-runs determinants of the sovereign CDS spread in emerging countries

摘要

In this paper, we study the long and short-runs determinants of sovereign CDS spread for eight emerging countries from 2008.Q4 to 2013.Q2. We estimate the spread of sovereign CDS using three macroeconomic determinants: current account, external debt and international reserves. Using the Pooled Mean Group cointegra-tion approach, our findings can be summarized as follows: ⅰ, the existence of cointegration between the variables indicated above; ⅱ, the coefficients of the current account, the external debt and international reserves are highly significant to explain the long-run sovereign CDS spread for all countries; ⅲ, international reserves are more important than the current account in order to reduce the sovereign CDS spread in long-run; iv, when allowing for heterogeneous short-run dynamics, the short-run effects are not significant for all countries.