Did the CDS Market Push up Risk Premia for Sovereign Credit?

Artikel

We examine the empirical relationship between credit default swap (CDS) premia and government bond spreads for Portugal, Italy, Ireland, Greece, and Spain (the 'PIIGS' countries). We find some evidence for a long-run relationship in the sense of cointegration for the two markets. In most cases (five out of seven), only CDS premia contribute to the price discovery process. In the other cases, both markets make a more or less equal contribution. All in all, this suggests that bond spreads react only sluggishly to long-term imbalances, as measured by the cointegrating relationship. In light of this, we can conclude that, in most cases, CDS markets are leading markets if there is a long-run relationship between the CDS and gov-ernment bond spread markets. This may partly be due to liquidity effects.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Swiss Journal of Economics and Statistics ; ISSN: 2235-6282 ; Volume: 147 ; Year: 2011 ; Issue: 3 ; Pages: 275-302 ; Heidelberg: Springer

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Econometrics ; Financial Crises ; Asset Pricing; Trading Volume; Bond Interest Rates ; International Financial Markets
• Thema: Greek debt crisis ; sovereign credit ; CDS market ; price discovery

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Andenmatten, Sergio ; Brill, Felix
• Ereignis: Veröffentlichung
• (wer): Springer
• (wo): Heidelberg
• (wann): 2011

Weitere Informationen

• DOI: doi:10.1007/BF03399347
• Handle: http://hdl.handle.net/10419/185981
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ