Sovereign credit spread spillovers in Asia

Biao Guo, Qian Han, Jufang Liang, Doojin Ryu*, Jinyoung Yu

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


Sovereign credit default swap (CDS) spreads exhibit strong co-movements across Asian countries and regions, including both emerging and developed economies. After controlling for global impacts, we examine the regional lead-lag relationships among changes in ten Asian sovereign CDS spreads. We use the pairwise Granger causality test to find that lagged changes in Kazakhstan's sovereign CDS spreads significantly predict changes in other Asian sovereign CDS spreads. By estimating the news-diffusion model, we find evidence that this predictive relationship may be explained by information diffusion. Furthermore, we find that lagged changes in Kazakhstan's CDS spreads have significant out-of-sample predictive power for other Asian economies, providing practical implications for sustainable investments and risk management.

Original languageEnglish
JournalSustainability (Switzerland)
Issue number4
Publication statusPublished - 1 Feb 2020
Externally publishedYes


  • Asian market
  • Emerging financial market
  • Sovereign contagion
  • Sovereign credit default swap
  • Sustainable investments


Dive into the research topics of 'Sovereign credit spread spillovers in Asia'. Together they form a unique fingerprint.

Cite this