Forecasting Sovereign Credit Ratings by Sovereign Credit Default Swap

• Main Authors: Hang-Fu Cheng, 鄭行甫
• Other Authors: 沈中華
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/00200603195553620003

碩士 === 國立臺灣大學 === 財務金融學研究所 === 98 === We’ve learned that sovereign CDS and economic data move in advance of sovereign credit ratings. Therefore, we check the relation between sovereign CDS one period ahead, economic data one period ahead, and current sovereign credit ratings to improve the ability of forecasting sovereign risk. According to our empirical result, the higher the previous sovereign CDS, the higher possibility to be downgrade; the lower the previous GDP growth rate, the higher possibility to be downgrade; the higher the previous CPI, the higher possibility to be downgrade; and the higher the private consumption over GDP, the higher possibility to be downgrade. Also, we find out that the relative CDS adjustment for inter-class is currently useless. We expect further research with the completion of CDS market.