The model focuses on the following 18 countries: Austria, Australia, Belgium, China, France, Germany, Greece, Ireland, Italy, Japan, the Netherlands, Norway, Portugal, Russia, Spain, Sweden, the United Kingdom and the United States
The model uses daily data over the period January 2nd 2006 to February 14th 2012 for a total of 1,260 daily observations
The following information is included for each country:
The daily change in the five-year sovereign credit default swap (CDS) spread
The daily change in the synthetic five-year financial sector CDS spread constructed by Greenwood-Nimmo, Huang and Nguyen (2017)
The model also includes the following observed common factors:
The three Fama-French stock market factors
The daily change in the five-year US Treasury yield
The daily change in the TED spread and the Euribor-DeTBill spread
The daily change in the S&P 500 variance risk premium
The daily change in the five-year US Treasury term premium
The daily change in the US corporate investment grade and high yield bond spreads
The daily change in a selection of ITRAXX credit default indices which capture pan-European credit risk factors
The daily log-return in the bilateral exchange rate for each currency against the US Dollar
A detailed description of the construction and properties of the dataset can be found in the the paper
Much of the data used in the model is proprietary and the associated licensing restrictions prevent us from sharing the dataset