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Title: Can dual-currency sovereign CDS predict exchange rate returns?
Authors: Pu, Xiaoling 
Zhang, Jianing 
Issue Date: 2012
Publisher: Elsevier
Source: Pu, X., & Zhang, J. (2012). Can dual-currency sovereign CDS predict exchange rate returns?. Finance Research Letters, 9(3), 157-166.
Journal: Finance Research Letters 
Abstract: This paper examines both the time-series and cross-sectional variation in the difference between US dollar and Euro denominated sovereign CDS spreads for a group of Eurozone countries. We find that the spread difference between dual-currency sovereign CDS significantly affects the bilateral exchange rate returns. In addition, the difference could predict the cumulative exchange rate returns up to 10 days. The results strongly suggest that the difference contains important information for the exchange rate dynamics at various phases of the crisis.
DOI: 10.1016/
Appears in Collections:Scholarly Publications

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