Current Account Balance Macroeconomic Variables
29
exchange rates has the most significant variable, while the domestic interest rate has a slightly effect on SCDS spreads.
Table 2.2 will be showing the overview of previous research that had conducted by some of the researchers.
Table 2.2 Overview Previous Research
No Resercher
Analysis model
Dependent Variables
Independent Variables
Result Journal
Number
1 Alexander
and Andreas 2008
Linear regression
and Markov
switching regression
CDS spreads
Interest rate, stock return,
implied volatility
All of
the variables that is
interest rate,
stock return,
and implied
volatility are
significant toward the CDS
spreads. Journal of
Banking Finance 32
2008 1008
–1021
2 Greatrex
2008 Multivariat
e regression
model CDS
spreads Stock retuns,
leverage ratio,
volatility, the rating based
index, treasury rate,
slope of yield curve.
A rating-based CDS index that
accounts for
both credit risk and
overall market
conditions is the best predictor of
CDS
spread changes.
Leverage and
volatility, are
also key
determinants, as these two
variables can Fordham
University Discussion
Paper No: 2008-05,
March 2008
30
No Researcher Analysis
Model Dependent
Variable Independent
Variable Result
explain almost half
of the
explained variation
in monthly
CDS spread changes.
Journal Number
3 Baum and
Wan 2010 OLS and
fixed-effect regression
CDS spread
Macroecono mic
uncertainty computed
by
the conditional
variance of the
GDP growth rate,
the index of industrial
production and
the returns
on the SP 500
Composite Index.;
market value; leverage
ratio; ROE; Dividend
payout ratio. Macroeconomic
uncertainty has significant
explanatory power over and
above that of traditional
macroeconomic factors such as
the
risk-free rate and the
Treasury term spread.
Applied Financial
Economics Taylor
Francis Journal vol.
20
15 page:
1163-1171
4 Tang
and Yan 2010
Regression Corporate
credit spread
Firm CDS
data; GDP
growth rate; GDP growth
volatility; Jump
risk; Investor
sentiment; CVCF; Firms
At the market level, investor
sentiment is the most important
determinant of credit spreads.
At
the firm
level, credit
spreads Journal of
Banking and
Finance 34, 743-753,
2010