Determinants of Sovereign CDS Spreads: Evidence from Brazil
Bibliographic record
Abstract
Credit derivatives are important financial instruments used to transfer credit risk of loans and other assets. Among them stands out the so-called sovereign credit default swap (CDS), which works as a kind of insurance against sovereign credit risk. The international literature has shown a correlation between sovereign CDS, CDS index and stock index. The present study aims to identify and analyze the determinants factors of the Brazilian sovereign credit default swap spreads (CDSs Brazil), from a multiple linear regression model adjusted for the period May 2009 to May 2014. The results show that the S&P 500 has a greater effect on the CDSs Brazil, followed by the factors Bovespa index (Brazilian stock market index), iTraxx index, European index CDS, FX volatility and CDS USA. Moreover, the CDSs Brazil has a positive relationship with the stock indexes and a negative relationship with the other variables, results similar to some studies in the literature.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.003 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.001 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".