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Authors
Advisor(s)
Abstract(s)
Esta dissertação documenta os determinantes do risco de crédito soberano em oito países europeus (Portugal, Alemanha, França, Itália, Espanha, Reino Unido, Irlanda e Grécia) utilizando como medida os spreads de Credit Default Swaps Soberanos (SCDS-spreads).
Analisando as maturidades de SCDS-spreads a 3, 5 e 10 anos entre 2009 e 2018, o estudo sugere que os fatores económicos e financeiros inerentes aos países, as crises e a assistência financeira que lhes foi prestada ao longo deste período explicam uma maior percentagem da variabilidade dos SCDS-spreads dadas maturidades mais longas. Além disso, sugere-se que os indicadores económicos com maior peso sobre os SCDS-spreads dos países da amostra são a inflação, o défice orçamental e o desemprego. Encontra-se evidência de que os SCDS-spreads são uma função crescente da perceção de risco no mercado e que as crises motivam a sua subida, sendo a sua influência maior no curto-prazo. Por fim, sugere-se que a assistência financeira é uma atenuante dos SCDS-spreads apenas durante períodos de crise ainda que este mesmo efeito se perca no longo-prazo.
This dissertation documents the determinants of sovereign credit risk in eight European countries (Portugal, Germany, France, Italy, Spain, United Kingdom, Ireland and Greece) using sovereign Credit Default Swaps (SCDS-spreads) as a measure. Analyzing the maturities of SCDS-spreads at 3, 5 and 10 years between 2009 and 2018, the study suggests that the economic and financial factors inherent to the countries, the crises and the financial assistance provided to them over this period explain a higher percentage of the variability of SCDS-spreads given longer maturities. Furthermore, it is suggested that the economic indicators with greater weight on the SCDS-spreads of the countries in the sample are inflation, budget deficit and unemployment. There is evidence that SCDS-spreads are an increasing function of the market risk perception and that crises motivate their rise, with their influence being greater in the short term. Finally, it is suggested that financial assistance shortens SCDS-spreads only during crisis periods, although this same effect is lost in the long term.
This dissertation documents the determinants of sovereign credit risk in eight European countries (Portugal, Germany, France, Italy, Spain, United Kingdom, Ireland and Greece) using sovereign Credit Default Swaps (SCDS-spreads) as a measure. Analyzing the maturities of SCDS-spreads at 3, 5 and 10 years between 2009 and 2018, the study suggests that the economic and financial factors inherent to the countries, the crises and the financial assistance provided to them over this period explain a higher percentage of the variability of SCDS-spreads given longer maturities. Furthermore, it is suggested that the economic indicators with greater weight on the SCDS-spreads of the countries in the sample are inflation, budget deficit and unemployment. There is evidence that SCDS-spreads are an increasing function of the market risk perception and that crises motivate their rise, with their influence being greater in the short term. Finally, it is suggested that financial assistance shortens SCDS-spreads only during crisis periods, although this same effect is lost in the long term.
Description
Mestrado em Contabilidade e Gestão das Instituições Financeiras
Keywords
Credit Default Swaps Credit Default Swaps Soberanos Risco soberano Dívida soberana Risco percebido Sovereign Credit Default Swaps Sovereign risk Sovereign debt Perceived risk
Citation
Soares, R. G. (2022) O risco soberano no mercado europeu: SCDS - Spreads. (Dissertação de mestrado não publicada). Instituto Politécnico de Lisboa, Instituto Superior de Contabilidade e Administração de Lisboa. Disponível em http://hdl.handle.net/10400.21/15379