by C. Emre Alper and Gerard, Marc Lorenzo
International Monetary Fund
January 1, 2012
Working Paper 12/24
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.
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τα ευρήματα του paper είναι τόσο χρήσιμα όσο η εύρεση ότι η αγορά παραγώγων του Λονδίνου οδηγεί τις μετοχές κατά το τρόπο που βρέθηκε ότι συνέβαινε στις ΗΠΑ
International Monetary Fund
January 1, 2012
Working Paper 12/24
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.
Read the Paper
_____________________________________________
τα ευρήματα του paper είναι τόσο χρήσιμα όσο η εύρεση ότι η αγορά παραγώγων του Λονδίνου οδηγεί τις μετοχές κατά το τρόπο που βρέθηκε ότι συνέβαινε στις ΗΠΑ
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