This paper studies the global, regional, and country-specific components of four key financial market indicators: sovereign CDS spreads, equity indices, exchange rates, and EMBI Global bond spreads. In all four markets, the results support the findings of the literature of a significant global...

In this paper we analyse the information content of correlations between daily changes in CDS spreads. Using factor analysis, we can break down the variance of CDS spreads into global, regional and country-specific components. Our results confirm the finding of other studies, namely that there...