Artikel
Sovereign bond spreads and CDS premia in the Eurozone: A causality analysis
This article presents an analysis of the possible relationship between the spreads of sovereign bonds and the premia of credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either separately or by taking into account the joint evolution of their values. The data refer to ten countries in the Eurozone along 2008-2016. By applying the causality Granger test for these variables, after six different ways of proxy, CDS premia are found to be the cause of the risk spreads in certain cases, although a bidirectional relationship is predominant in many other cases. So the CDS market contains clear and highly useful information on the sovereign risk.
- Weitere Titel
-
Diferenciales de bonos soberanos y primas de CDS en la zona euro: Un análisis de causalidad
- Sprache
-
Englisch
- Erschienen in
-
Journal: Revista de Métodos Cuantitativos para la Economía y la Empresa ; ISSN: 1886-516X ; Volume: 30 ; Year: 2020 ; Pages: 58-78
- Klassifikation
-
Wirtschaft
International Financial Markets
National Debt; Debt Management; Sovereign Debt
- Thema
-
sovereign risk
credit risk
CDS
causality
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Téllez, Cecilia
Martín García, Margarita
Ramón Jerónimo, María Ángeles
Martín Marín, José Luis
- Ereignis
-
Veröffentlichung
- (wer)
-
Universidad Pablo de Olavide
- (wo)
-
Sevilla
- (wann)
-
2020
- DOI
-
doi:10.46661/revmetodoscuanteconempresa.3872
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Téllez, Cecilia
- Martín García, Margarita
- Ramón Jerónimo, María Ángeles
- Martín Marín, José Luis
- Universidad Pablo de Olavide
Entstanden
- 2020
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