Arbeitspapier
An analysis of euro area sovereign CDS and their relation with government bonds
This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare the determinants of CDS spreads and bond spreads and test how the crisis has affected market pricing. Then we analyse the ‘basis’ between CDS spreads and bond spreads and which factors drive pricing differences between the two markets. Our first main finding is that the recent repricing of sovereign credit risk in the CDS market seems mostly due to common factors. Second, since September 2008, CDS spreads have on average exceeded bond spreads, which may have been due to ‘flight to liquidity’ effects and limits to arbitrage. Third, since September 2008, market integration for bonds and CDS varies across countries: In half of the sample countries, price discovery takes place in the CDS market and in the other half, price discovery is observed in the bond market.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1271
- Klassifikation
-
Wirtschaft
Financial Economics: General
Financial Crises
- Thema
-
CDS
Credit Spread
financial crisis
Government bond
limits to arbitrage
Kreditderivat
Kreditversicherung
Öffentliche Anleihe
Kreditrisiko
Finanzkrise
Eurozone
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fontana, Alessandro
Scheicher, Martin
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fontana, Alessandro
- Scheicher, Martin
- European Central Bank (ECB)
Entstanden
- 2010
Ähnliche Objekte (12)
Euro area government bonds : Integration and fragmentation during the sovereign debt crisis
Euro area government bonds: Integration and fragmentation during the sovereign debt crisis
Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
Correlation between Maltese and euro area sovereign bond yields
Real effects of sovereign bond market spillovers in the euro area
Euro area sovereign bond risk premia during the Covid-19 pandemic
A macro-financial analysis of the euro area sovereign bond market
Interaction in euro area sovereign bond markets during the financial crisis
What factors shape the liquidity levels of euro area sovereign bonds?
Have Irish sovereign bonds decoupled from the euro area periphery, and why?
Government Bond Liquidity and Sovereign-Bank Interlinkages
Government bond liquidity and sovereign-bank interlinkages
Euro area government bonds : Integration and fragmentation during the sovereign debt crisis
Euro area government bonds: Integration and fragmentation during the sovereign debt crisis
Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
Correlation between Maltese and euro area sovereign bond yields
Real effects of sovereign bond market spillovers in the euro area
Euro area sovereign bond risk premia during the Covid-19 pandemic
A macro-financial analysis of the euro area sovereign bond market
Interaction in euro area sovereign bond markets during the financial crisis
What factors shape the liquidity levels of euro area sovereign bonds?
Have Irish sovereign bonds decoupled from the euro area periphery, and why?
Government Bond Liquidity and Sovereign-Bank Interlinkages
Government bond liquidity and sovereign-bank interlinkages
Euro area government bonds : Integration and fragmentation during the sovereign debt crisis
Euro area government bonds: Integration and fragmentation during the sovereign debt crisis
Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
Correlation between Maltese and euro area sovereign bond yields
Real effects of sovereign bond market spillovers in the euro area
Euro area sovereign bond risk premia during the Covid-19 pandemic
A macro-financial analysis of the euro area sovereign bond market
Interaction in euro area sovereign bond markets during the financial crisis
What factors shape the liquidity levels of euro area sovereign bonds?
Have Irish sovereign bonds decoupled from the euro area periphery, and why?
Government Bond Liquidity and Sovereign-Bank Interlinkages