Research Article
Dynamics in the Predictability of Credit Default Swap Spreads of EU Companies
Table 3
Frequencies of appearances of variables in forecasting models.
| | Variable | Percentage of models where the variable is included (%) | Fraction with negative coefficients (%) | Fraction with positive coefficients (%) |
| | Δln(market capitalisation)t−1 | 64.4 | 100.0 | 0.0 | | Δln(STOXX 50)t−1 | 60.0 | 96.3 | 3.7 | | Δln(volatility index for STOXX 50)t−1 | 16.7 | 6.7 | 93.3 | | Δ(3-month LIBOR for EUR)t−1 | 4.4 | 25.0 | 75.0 | | Δln(3-month LIBOR for USD)t−1 | 36.7 | 90.9 | 9.1 | | Δln(3-month LIBOR for GBP)t−1 | 1.1 | 0.0 | 100.0 | | Δln(EUR/USD exchange rate)t−1 | 70.0 | 100.0 | 0.0 | | Δln(EUR/GBP exchange rate)t−1 | 17.8 | 0.0 | 100.0 | | Δln(EUR/CNY exchange rate)t−1 | 26.7 | 100.0 | 0.0 | | Δ(German 10-year bond yield)t−1 | 37.8 | 100.0 | 0.0 | | Δ(French 10-year bond yield)t−1 | 7.8 | 71.4 | 28.6 | | Δln(Italian 10-year bond yield)t−1 | 68.9 | 0.0 | 100.0 | | Δln(gold futures)t−1 | 20.0 | 0.0 | 100.0 | | Δln(Brent crude oil futures)t−1 | 55.6 | 100.0 | 0.0 | | Δln(natural gas futures)t−1 | 2.2 | 100.0 | 0.0 | | Δln(CDS spread)t−1 | 57.8 | 17.3 | 82.7 |
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