ABSTRACT
This chapter analyzes the dynamic interrelationships among the sovereign credit default swap (CDS) spreads of four Association of Southeast Asian Nations (ASEAN) countries, namely, Indonesia, Malaysia, the Philippines, and Thailand, during the sample period between 2005 and 2010. It adopts the model developed by F. X. Diebold and K. Yilmaz to investigate time-varying linkages among the Southeast Asian sovereign CDS spreads. The empirical results based on Diebold and Yilmaz's dynamic spillover indices clearly show how the shocks were spread over time among the sovereign CDS spreads of the Southeast Asian nations. The chapter summarizes some main empirical findings and their implications. It also provides a clear picture of how cross-country spillovers were transmitted among the countries concerned over time, prior to, and during the global financial crisis.
