| |
N° 2008-14 |
  |
| September 2008 |
| Contagion in the Credit Default Swap Market: the case of the GM and Ford Crisis in 2005 |
Virginie Coudert
Mathieu Gex |
|
| Has the General Motors (GM) and Ford crisis in 2005 spread to the whole credit default
swap (CDS) market? To answer this question, we study the correlations between CDS
premia, by using a sample of 226 CDSs on major US and European firms. We show that
correlations significantly increased during the crisis, especially in the first week. We also
test the links between markets at the firm level, using VECM and VAR models. The lead of
the CDS market over the bond market appears to have weakened during the crisis. The
links with the equity market were also mitigated. |
Non-technical summary |
|
Résumé
non-technique
en français |
|
| Full text |
| |
|
| Credit Default Swap; bond; equity; correlation; contagion |
Keywords |
| C32; G15 |
JEL classification |
| |
|
| To visualise the full text document, use Acrobat
Reader |
|
|
|
|
| |
|
|
|
|
