Current regional SCDS Distribution-Free Indices

The panels and the table are magnified by clicking on them.

image003.png

7SCDSidxApr17.png
The seven regions were defined as shown in the above table. We applied the method of indexation to the 5-year sovereign CDS (SCDS) spreads each region.
blank.png
The left panel shows the seven regional SCDS distribution-free indices for the period from December 3, 2003 to March 30, 2018. The regional sovereign risks for Latin America and Asia pacific have currently showed slight increases even though all the indices have stayed at relatively lower levels.
blank.png

The bottom panel focuses on the detailed period from the beginning of 2015. The reginal sovereign risks for Asia Pacific and the emerging regions such as Latin America, Middle East/Africa and Eastern Europe have gradually increased since the beginnign of 2018. On the other hand, those for Northern, Southern and Western Europe have been stabilized at low levels.

image007.png Source: Markit

milk_btn_pagetop.png

Information on the Box-Cox transformation

The parameter lambda.pngof the Box-Cox transformation indicates the information on the distribution of the observations. The below table shows AIC03.png for each region and the total. The various lambda.png with the minimum AIC03.png are found among regions. From the overview, we determined the optimal lambda.png as -0.3 for all regions.

image005.png

milk_btn_pagetop.png