The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability
We provide novel evidence on exchange rate predictability by using the term premia of the sovereign credit default swap (CDS). Using a sample of 29 countries, we find that the sovereign CDS term premia significantly predict the exchange rates out‐of‐sample. On average, a steeper CDS spread curve for...
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| Main Authors: | , |
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| Format: | Default Article |
| Published: |
2019
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| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/11467887.v1 |
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