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Sovereign Credit Risk and Business Cycles in Emerging Market Economies
국가 신용리스크가 신흥국 경제에 미치는 영향

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Authors
장재영
Advisor
박웅용
Major
사회과학대학 경제학부
Issue Date
2017-02
Publisher
서울대학교 대학원
Keywords
Sovereign Credit RiskSovereign CDS SpreadBank Balance Sheet EffectEmerging Market Business Cycle
Description
학위논문 (석사)-- 서울대학교 대학원 : 경제학부, 2017. 2. 박웅용.
Abstract
This paper investigates the effects of sovereign credit risk shock on business cycles of emerging market economies. The empirical research is conducted with panel vector auto-regressive model and economic variables of both real and financial sectors. This includes domestic bank lending-borrowing spread to demonstrate the transmission channel by incorporating bank balance sheet effect. Sovereign credit default swap (CDS) spread is used as sovereign credit risk measure. The main findings are: (1) the sovereign spread shock has negative effects on GDP, investment and domestic credit
and (2) the shock increases domestic banking spread, which shows that the shock would be transmitted through banking sector
(3) narrowing down to pre-crisis period, this research finds that impacts on output, investment and credit are smaller than that of whole period while banking spread surges more.
Language
English
URI
https://hdl.handle.net/10371/134750
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College of Social Sciences (사회과학대학)Dept. of Economics (경제학부)Theses (Master's Degree_경제학부)
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