This thesis analyses the relationship between the increasingly important sovereign CDS spreads and exchange rates, from a macroeconomic perspective. It attempts to address an existing gap in the empirical literature, which to date has paid limited attention to the role of exchange rates in influencing sovereign CDS spreads, and vice versa. In exploring the relationship between sovereign CDS markets and foreign exchange markets, I find relatively strong evidence of a causal relationship between these two variables. In a longer-term cointegrating relationship, I find that sovereign CDS spreads have different impacts (positive or negative) on exchange rates depending on the structural characteristics of the domestic export sectors of the countries studied. Turning to the second moment of exchange rates and sovereign CDS spreads, I examine the relationship between the volatility of sovereign CDS spreads and the volatility of exchange rates for developed economies (proxied by an index containing 10 Eurozone countries) and emerging economies (proxied by Brazil and Russia). My findings point to different mechanisms of transmission between sovereign CDS markets and foreign exchange markets with regard to developed and emerging economies: for developed economies, exchange rates affect sovereign CDS spreads through the volatility, whilst in emerging economies the exchange rates affect sovereign CDS spreads at the price level. To further analyse the determinants of sovereign CDS spreads, I incorporate additional macroeconomic fundamentals in addition to exchange rates into a model to explain sovereign CDS spreads. The results show that sovereign CDS spreads are indeed driven by most macroeconomic fundamentals. However, these results do not hold during periods of economic turmoil, in which the rising risk aversion of investors becomes a principal influence behind the sovereign CDS spreads. As changes in exchange rates are able to capture changes to risk aversion through trading in foreign exchange markets, the exchange rate retains its explanatory power to sovereign CDS spreads in ‘normal’ as well as ‘crisis’ conditions. Overall, the study provides strong support for the claim that exchange rates are an important determinant of sovereign CDS spreads, in addition to the interest rate which is highlighted in the literature review. The exchange rate – as an important fundamental indicator – can reflect the general domestic economic status, the relative international competitiveness of countries, as well as capture changes in risk aversion among investors. Therefore, using exchange rates to explain sovereign CDS spreads can help to account for both domestic and international dimensions of the ‘health’ of an economy as well as changes in investors’ attitudes.

Alors que le début de la crise de l'euro a relancé le débat sur l’interdépendance du risque decrédit et la relation dette bancaire-dette souveraine, l’importance du secteur réel est négligéedans l’élaboration des mesures de relance de la croissance économique dans la zone euro. Cettethèse se concentre sur ces questions au sein de la zone euro. D’abord, nous évaluons les effets«spillover» de la crise souveraine sur le coût de crédit des entreprises non financières enprésence des mesures d’austérité (Chapitre-I). Nos résultats indiquent un effet significatif de ladette publique sur le coût des prêts. En outre, en période de crise, les mesures d’austéritéimpactent significativement le coût de crédit tandis qu’avant la crise, on note une petite illustrationde la demande agrégée de Keynes. Ensuite, nous montrons que les fonctions traditionnelles desbanques, notamment celle de création de liquidité fragilisent le secteur souverain (Chapitre-II). Enparticulier, nous montrons que le risque de liquidité des banques agit comme un canal depropagation de l'incertitude vers les sociétés non financières et inversement. Enfin, nousexaminons la dynamique du risque de crédit sur la dette souveraine, les entreprises et lesbanques (Chapitre-III). Nos résultats montrent qu’il existe un risque de contagion sur les secteurset les marchés financiers de l’union monétaire. Par ailleurs, les résultats des simulations dechocs de primes de risque des pays «noyaux» de la zone euro confirment l’existence d’effetsindirects sur le reste de la zone. De plus, nous constatons un phénomène de fuite desinvestisseurs vers les valeurs refuges. / The onset of euro crisis has rekindled the policy debate regarding credit risk interdependenceamong sovereign-bank nexus. In this vein, the importance of real sector is overlooked whileformulating corrective measures for the recovery of economic growth in EMU. This thesispresents a study that examined these issues in euro zone. First, we evaluate spillover effect ofeuro crisis on borrowing cost of non-financial firms in presence of austerity measures (Chapter-I).Our results suggest significant effect especially where creditor rights protection are weak. Inaddition during recent crisis, results indicate presence of credibility channel due to austeritymeasures whereas; there is slight indication of aggregate demand channel before crisis. Second,we find traditional function of bank’s liquidity creation as a significant conduit of sovereign distressto real sector (Chapter-II). Particularly, our main finding shows that bank liquidity risk acts as aconduit which propagates uncertainty towards non-financial firms and re-channels it back torespective government. Finally, we examine cross-market credit risk dynamics among sovereignbank-firm nexus to identify presence of contagion during euro crisis period (Chapter-III). Ourresults report grave evidence of credit risk contagion across sectors and member states incorresponding financial markets in EMU. Moreover like peripheral countries, simulation results toshock in core countries risk premia strongly provide evidence of contagion towards remainingeuro zone.

歐式信用違約交換選擇權通常都以短天期較富流動信，造成這樣情形的原因很可能是因為長天期的信用違約交換選擇權必須承擔標的公司的倒閉風險。美式信用違約交換選擇權讓持有者可以在選擇權到期以前履約，這使得持有者可以只注意信用違約交換溢酬的變動，而不必擔心標的公司的倒閉風險。在這篇論文當中，我們結合最小平方法以及單期信用違約溢酬模型評價美式信用違約交換選擇權，其中單期信用違約溢酬模型是由布瑞格在2004年所發表的模型。本篇論文評價方法的最大優點在於此方法類似於利率理論的市場模型，因此我們可以利用類似的想法評價任何與信用違約交換合約相關的信用衍生性商品。 / The most liquid European CDS options are usually of short maturities. This may result from that options with longer maturity have to bear more default risk of the reference company. American CDS options allow the holders to exercise options before option matures so that they can focus on spread movements without worrying about default risk. In this paper, we price American CDS options with one-period CDS spread model presented by Brigo (2004). The primary advantage of this model is that it is similar to LIBOR market model in interest rate theory. Therefore, path-dependent CDS-related products can be easily priced with familiar ideas.