Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.12540/173
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dc.contributor.authorPu, Xiaolingen_US
dc.contributor.authorZhang, Jianingen_US
dc.date.accessioned2020-09-18T08:02:57Z-
dc.date.available2020-09-18T08:02:57Z-
dc.date.issued2012-
dc.identifier.citationPu, X., & Zhang, J. (2012). Can dual-currency sovereign CDS predict exchange rate returns?. Finance Research Letters, 9(3), 157-166.en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12540/173-
dc.description.abstractThis 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.en_US
dc.format.extent34 pagesen_US
dc.format.mimetypeapplication/pdfen_US
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.relation.ispartofFinance Research Lettersen_US
dc.rights.urihttps://creativecommons.org/licenses/by-nc/4.0/-
dc.titleCan dual-currency sovereign CDS predict exchange rate returns?en_US
dc.typeArticleen_US
dc.rights.licenseAttribution-NonCommercial 4.0 International (CC BY-NC 4.0)en_US
dc.identifier.doi10.1016/j.frl.2012.01.001-
dc.subject.keywordsSovereign Credit Default Swapen_US
dc.subject.keywordsExchange Rate Returnen_US
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