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This paper revisits the international evidence on hedge, safe haven and diversificationproperties of precious metals, namely; gold, silver and platinum for the G-7 stock marketswhereas most of the studies have focused only on gold properties. Conversely to the studies in the literature that use only bivariate copula, we use the multivariate vine copula based GARCH model. We then find that precious metals have valuable hedge and safe haven roles with different degrees. Our findings show that gold is the strongest hedge and safe haven asset, in almost all the G-7 stock markets. For silver and platinum, results show that they may act as weak hedge assets. Also, silver bear the potential of a strong safe haven role only for Germany and Italy stock markets. However, platinum provides weak safe haven role for most developed stock markets. Using the Bivariate VaR risk measure, we suggest that precious metals may offer diversification benefits in the G-7 stock markets.

This paper investigates the role of precious metals (Gold, Silver and Platinum) as hedge and/or safe haven assets against the G-7 stock markets that represents the most developed economies, by characterizing the multivariate dependence structure using vine copulas, mainly the C-vine and the D-vine, to capture more flexibly the dependencies between the three precious metals and each stock market index. Therefore, by the information about the dependence on average and the dependence in extreme market conditions provided by the vine copula, we find that all precious metals under study serve as hedge and safe haven assets in almost all countries with different degrees. On one hand, our hedge analysis results indicate that only gold may serve as a strong hedge on average while silver and platinum may be good diversifier assets. On the other hand, our safe haven analysis results show that both of gold and silver may be strong safe haven assets in almost all the G-7 countries.

International audience

The study of an efficient financial assets' modeling method is still an open hot issue especially during recent crises. Using credit risk data from 33 worldwide countries, this paper investigates the performance of 9 Dynamic Conditional Correlation models taking into account different properties of financial markets (long memory behavior, asymmetry and/or leverage effects...). This comparative study is based on the results of several multivariate diagnostic tests. Findings show that no model outperforms the others in all situations, though, the straightforward DCC-GARCH model seems to provide the most relevant estimator parameters. Yet, the innovations distributions assumption significantly impacts the statistical fit of the model. Our work is useful for financial markets' participants so as to making decision in terms of arbitrage, hedging or speculation. JEL Classification G11, G12, F02, C58

The unquenchable thirst of several sectors to crude oil in the recent years makes a common belief regarding its key role towards the acceleration of the recent economic recession and financial instability. This paper aims to examine the impact of oil shocks on the sovereign credit risk for a sample of 38 worldwide oil-producing and non-oil producing countries, over a period ranging from January 2006 to March 2017. In contrast to the existing literature, CDS volatility is employed as a measure for the creditworthiness level, rather than the commonly used CDS spreads first-order moment. The methodological framework used in this paper goes beyond previous studies and takes into account more financial data features (long memory behavior, asymmetric effects and nonlinear-ities) according to a self-exciting regime switching model. Results reveal some dissimilarities in the explanatory power of the exogenous variables between regimes and across countries. Particularly, restricted evidence of oil significant impact on sovereign CDS volatility are detected during the stable regime, whilst during the risky regime credit volatility becomes more sensitive to oil market conditions for most of the studied markets. Generally, the decline in oil price worsens the public finances tenability whether the country is oil-related or not. JEL Classification G1, G15, E44.

In this globalized world, market efficiency is one of the main determinants of country positions in the international economic and financial space. Aware of this crucial issue, this article aims to provide further evidence on the weak form of the Efficiency Hypothesis in Sovereign CDS markets in 37 countries around the world from January 2006 to March 2017. The econometric framework used in this research is based on a VECM-FIGARCH(1,d,1) approach that considers for long term equilibrium as well as volatility stylized facts such as clustering and long-memory. Based on the entire period analysis and against all odds, the results clearly reject the randomness of each CDS spread studied. However, the sub-period analysis shows significant evidence of structural breaks in the price predictability pattern, characterized by some efficiency decline over the last two financial tensions. The significant impact of crises on market efficiency is all the more justified because, during the post-crisis period, historical prices are found to be completely irrelevant in predicting current spreads. Moreover, our results show that each country of the economically heterogeneous studied sample exhibit different efficiency status that cannot be adequately explained by the sovereign credit risk level. JEL Classification: G01, G14

International audience; This paper analyzes Credit Default Swaps spread dynamic to determine whether the sovereign Credit Default Swap market is subject to contagion effects. Analysis is performed on credit spreads data of 35 worldwide countries belonging to four different economic categories over a period from 2006 until 2014, covering the subprime crisis and the European sovereign debt crisis. A novel approach is proposed to estimate the dynamic conditional correlations between CDS spreads using AR(1)-FIEGARCH(1,d,1)-DCC model. Based on our findings, we put a slant on the financial market vulnerability, reinforced by contagion effects during the different phases of the crises. Furthermore, analysis of each county solely show that contagion effects are sterner during the Eurozone crisis comparing to the global financial crisis and that the level of exposure to crises differs across global markets and regions. Yet, our approach provides evidences that crises spread to countries across the world regardless their economic status or geographical positions.

The occurrence of more and more financial crises characterized not only by their persistence but especially by their severity and magnitude encourages further investigation on portfolio diversification and financial assets' comovements. This paper studies the volatility spillover among 33 worldwide Sovereign Credit Default Swap markets and their underlying bond markets. Conversely to the studies of the literature, heteroscedasticity, asymmetric leverage effect and long-memory features of sovereign credit spreads are simultaneously taken into account through a bivariate FIEGARCH model and a Bayesian cointegrated VAR model. Similarly to the literature, our findings confirm strong evidences of credit risk spillover between credit markets accentuated during crisis periods. However, our country by country analysis allows us to show that countries exhibit different sensitivity levels and reactions' divergences to financial shocks. Further, we show that the bidirectional interrelationship evolves over time and across countries emphasizing the necessity of time-varying national regulatory policies and trading positions.

International audience

International audience

International audience

International audience

International audience

International audience

International audience

International audience

International audience