Abstract Using a generalized vector autoregressive framework in which forecast error variance decompositions are invariant to the variable ordering, this paper documents the information transmission between the sovereign CDS markets of Greece, Ireland, Italy, Portugal and Spain (GIIPS) and the sovereign debt markets of twenty-six emerging countries. This paper finds that although the European sovereign crisis was triggered by the deterioration of these countries' fiscal conditions, the sovereign debts markets of emerging countries moved ahead of the CDS markets of EU peripheral countries in terms of information transmission in the short run. The first principal component of the changes in GIIPS CDS spreads has a large variance contribution share to the forecast error variances of the sovereign debt spreads of emerging countries. Greek CDS spread contains no superior information, if not less, related to sovereign debts of emerging countries relative to the others. Finally, cross-sectional analysis indicates that an emerging country with less open to international trades and a larger market value of sovereign debts, the sovereign debts of that country is more vulnerable to the EU sovereign risk.

中文翻译：

---

欧洲主权CDS与新兴国家主权债务市场之间的信息传递

摘要利用广义矢量自回归框架，其中预测误差方差分解对变量有序不变，本文记录了希腊，爱尔兰，意大利，葡萄牙和西班牙的主权CDS市场（GIIPS）与西班牙的主权债务市场之间的信息传递。二十六个新兴国家。本文发现，尽管欧洲主权危机是由这些国家的财政状况恶化引发的，但从短期来看，新兴国家的主权债务市场在信息传递方面已领先于欧盟周边国家的CDS市场。GIIPS CDS利差变化的第一个主要成分在新兴国家主权债务利差的预测误差方差中具有较大的方差贡献份额。希腊CDS的价差不包含与新兴国家相对于其他国家的主权债务有关的高级信息，即使不是更少。最后，横截面分析表明，一个新兴国家对国际贸易的开放程度较低，主权债务的市场价值较大，该国的主权债务更容易受到欧盟主权风险的影响。