Pricing of Sovereign Credit Risk : Evidence from Advanced Economies During the Financial Crisis.
Title:
Pricing of Sovereign Credit Risk : Evidence from Advanced Economies During the Financial Crisis.
Author:
Alper, C. Emre.
ISBN:
9781463933777
Personal Author:
Physical Description:
1 online resource (29 pages)
Series:
IMF Working Papers
Contents:
Cover -- Contents -- I. Introduction -- II. Dynamic Relationships between CDS and RAS Spreads -- III. Determinants of CDS and RAS Spreads -- IV. Concluding Remarks -- Data Appendix -- Tables -- 1. Panel and Individual Unit Root Test Results on the Basis (CDS-RAS) -- 2. Individual Cointegration Test and Error-correction Model Estimation Results for CDS and RAS Spreads -- 3. CDS Spreads Regressions -- 4. RAS Spreads Regressions -- 5. CDS Spreads Regressions - Country Breakdown -- 6. RAS Spreads Regressions--Country Breakdown -- Figures -- 1. CDS Gross Notional Outstanding Amounts as a Share of Total Public Debt: Selected Countries over the Period 2008-11 -- 2. CDS and RAS Spread Developments -- 3. Expected one year ahead Primary Deficit and CDS/RAS Spreads - Large Advanced Economies -- 4. Expected one year ahead Primary Deficit and CDS/RAS Spreads - Selected -- References.
Abstract:
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.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Genre:
Electronic Access:
Click to View