Le rôle des Credit Default Swaps dans les crises de la dette souveraine. Une application au cas de la zone euro

Abstract : This thesis attempts to identify the factors behind the sovereign default risk, as measured by sovereign CDS spreads, during the sovereign debt crisis in Europe. By analyzing monthly data from January 2007 to September 2015 using vector error correction model with panel data, we find that European sovereign default risk is partly a response to a macroeconomic environment characterized by poor fiscal policies and deteriorating economic factors. Specifically, higher unemployment rate, debt levels and lower current account balances have increased the sovereign CDS spreads. These results do not allow us to reject the hypothesis that the sovereign default was driven by weak economic fundamentals. But the relative importance of these factors changes over time and group of countries. The presence and absence of Greece have played a key role in the developments of the spreads in the euro area countries. The rating downgrades in Greece and the higher European risk aversion had contributed to a significant rise in the CDS spreads of euro and non-euro area countries. Our VECM analysis does suggest direct spillovers from Greece to Euro area periphery via non-fundamental channels. Finally, our results suggest that the emergence of the debt crisis was caused by weak fundamentals but has also a self-fulfilling character.
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Samah El Cheikh. Le rôle des Credit Default Swaps dans les crises de la dette souveraine. Une application au cas de la zone euro. Economies et finances. Université Côte d'Azur, 2019. Français. ⟨NNT : 2019AZUR0006⟩. ⟨tel-02299304⟩

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