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The dependence structure in credit risk between money and derivatives markets: A time-varying conditional copula approach

机译：货币与衍生产品市场之间信用风险的依存结构：时变条件copula方法

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摘要

Purpose - The purpose of this paper is to examine the dynamic dependence structure in credit risk between the money market and the derivatives market during 2004-2009. The authors use the TED spread to measure credit risk in the money market and CDS index spread for the derivatives market. Design/methodology/approach - The dependence structure is measured by a time-varying Gaussian copula. A copula is a function that joins one-dimensional distribution functions together to form multivariate distribution functions. The copula contains all the information on the dependence structure of the random variables while also removing the linear correlation restriction. Therefore, provides a straightforward way of modelling non-linear and non-normal joint distributions. Findings - The results show that the correlation between these two markets while fluctuating with a general upward trend prior to 2007 exhibited a noticeably higher correlation after 2007. This points to the evidence of credit contagion during the crisis. Three different phases are identified for the crisis period which sheds light on the nature of contagion mechanisms in financial markets. The correlation of the two spreads fell in early 2009, although remained higher than the pre-crisis level. This is partly due to policy intervention that lowered the TED spread while the CDS spread remained higher due to the Eurozone sovereign debt crisis. Originality/value - The paper examines the relationship between the TED and CDS spreads which measure credit risk in an economy. This paper contributes to the literature on dynamic co-movement, contagion effects and risk linkages.
机译：目的-本文的目的是研究2004-2009年货币市场和衍生品市场之间信用风险的动态依赖结构。作者使用TED利差来衡量货币市场中的信用风险，并使用衍生品市场中的CDS指数利差进行度量。设计/方法/方法-依赖结构是通过随时间变化的高斯copula来度量的。 copula是将一维分布函数连接在一起以形成多元分布函数的函数。 copula包含有关随机变量的依存结构的所有信息，同时还消除了线性相关限制。因此，提供了一种建模非线性和非正态关节分布的简单方法。调查结果-结果显示，这两个市场之间的相关性虽然在2007年之前以总体上升趋势波动，但在2007年之后显示出明显更高的相关性。这表明了危机期间信贷危机蔓延的迹象。危机时期被确定为三个不同的阶段，这揭示了金融市场传染机制的性质。尽管仍然高于危机前的水平，但两种利差的相关性在2009年初有所下降。这部分是由于政策干预降低了TED利差，而CDS利差由于欧元区主权债务危机而保持较高。原创性/价值-本文研究了TED和CDS利差之间的关系，该关系衡量了经济中的信用风险。本文为有关动态协同运动，传染效应和风险联系的文献做出了贡献。

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  • 来源
    《Managerial finance》 |2014年第8期|758-769|共12页
  • 作者

    Weiou Wu; David G. McMillan;

  • 作者单位

    Kemmy Business School, University of Limerick, Limerick, Ireland;

    Accounting and Finance Division, Stirling Management School,University of Stirling, Stirling, UK;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    TED; CDS; Copula; Contagion;

    机译：TED;CDS;系词;传染性;

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