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  • 标题:MULTIDIMENSIONAL SCALING FOR CREDIT DEFAULT SWAP (CDS): EVIDENCE FROM OECD COUNTRIES
  • 本地全文:下载
  • 作者:Ayhan KAPUSUZOGLU ; Ayhan KAPUSUZOGLU ; Nildag Basak CEYLAN
  • 期刊名称:Buletin ştiinţific: Universitatea din Piteşti. Seria Ştiinţe Economice
  • 印刷版ISSN:1583-1809
  • 电子版ISSN:2344-4908
  • 出版年度:2018
  • 卷号:17
  • 页码:3-8
  • 语种:English
  • 出版社:Publishing house of University of Pitesti, Romania
  • 摘要:The aim of this study is to analyze the similarities and differences between the OECD countries in terms of the change in CDS risk premiums.Accordingly,CDS risk premiums of the related countries are taken on a monthly basis for the 30/06/2011 - 30/09/2018 period.The Euclidean distances are calculated using Multidimensional Scaling Analysis.As a result of the study,the most similar (close) country pairs are calculated according to their euclidean distances.The results of the analysis show that New Zealand-Australia,Estonia-Austria,Slovakia-Netherlands,Finland-Denmark and Germany-France are the most similar country pairs whereas Slovenia-Turkey,Netherlands-Turkey,Russia-Norway,Russia-Mexico and Slovakia-Turkey are the most dissimilar country pairs.According to the results obtained;Mexico,Russia,Chile and Turkey are the countries which are decomposed significantly from the other OECD countries.Moreover,the countries which are geographically close to each other are also very similar in terms of the change in the economic risk level.
  • 关键词:Multidimensional scaling;Credit default swap;OECD.
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