Credit Default Swap Markets in the Global Economy

An Empirical Analysis

Go Tamakoshi (Kobe University, Japan), Shigeyuki Hamori (Kobe University, Japan)

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English

Routledge
18 December 2020

Macroeconomics; Investment & securities

Series: Routledge Studies in the Modern World Economy

This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time series data. It covers not only well-studied sovereign credit default swap markets but also sector credit default swap indices (i.e., CDS index for the banking sector) and corporate credit default swap indices (i.e., Markit iTraxx Japan CDS index), which have not been fully examined by the previous literature. The book also investigates causality and co-movement among several credit default swap markets, or between CDS and other financial markets.

By: Go Tamakoshi (Kobe University Japan), Shigeyuki Hamori (Kobe University, Japan)
Imprint: Routledge
Country of Publication: United Kingdom
Dimensions: Height: 234mm, Width: 156mm,
Weight: 453g
ISBN: 9780367504212
ISBN 10: 0367504219
Series: Routledge Studies in the Modern World Economy
Pages: 170
Publication Date: 18 December 2020
Audience: College/higher education , Further / Higher Education , A / AS level
Format: Paperback
Publisher's Status: Active

Go Tamakoshi is Research Fellow at the Department of Economics of Kobe University, Japan. He received his PhD in Economics from Kobe University and an MBA from MIT Sloan School of Management. He has published many papers in refereed journals. He is the co-author of The European Sovereign Debt Crisis and Its Impacts on Financial Markets (Routledge, 2015). Shigeyuki Hamori is a Professor of Economics at Kobe University, Japan. He received his PhD from Duke University and has published many papers in refereed journals. His titles include Introduction of the Euro and the Monetary Policy of the European Central Bank (World Scientific, 2009), The European Sovereign Debt Crisis and Its Impacts on Financial Markets (Routledge, 2015), and Financial Globalization and Regionalism in East Asia (Routledge, 2014).