Cover Image
Read Now

Pricing of Sovereign Credit Risk Evidence From Advanced Economies During the Financial Crisis

We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbit...

Full description

Bibliographic Details
Main Author: Alper, Emre
Other Authors: Forni, Lorenzo, Gerard, Marc
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2012
Series:IMF Working Papers
Subjects:
Sovereign Bonds
Credit
Finance
Financial Crises
Fiscal Policy
Money
Financial Markets
Financial Risk Management
Bonds
Capital And Ownership Structure
Credit Risk
Goodwill
Credit Default Swap
Derivative Markets
Financial Risk And Risk Management
Financing Policy
Economic & Financial Crises & Disasters
Monetary Economics
Financial Institutions
Value Of Firms
Monetary Policy, Central Banking, And The Supply Of Money And Credit: General
General Financial Markets: General (includes Measurement And Data)
Investments: Bonds
Derivative Securities
Banks And Banking
Financial Regulation And Supervision
Interest Rates: Determination, Term Structure, And Effects
Investment & Securities
Money And Monetary Policy
Finance: General
Financial Services Law & Regulation
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS) markets, with price discovery taking place in the latter. Likewise, panel regressions aimed at uncovering the fundamental drivers of the two indicators show that the CDS market, although less liquid, has provided a better signal for sovereign credit risk during the period of the recent financial crisis
Physical Description:27 pages
ISBN:9781463931865

Similar Items