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The information content of Hungarian sovereign CDS spreads

Varga, Lóránt - 2009

global credit derivatives markets. Our primary goals are to glean some information from the CDS spreads about Hungary … two rates may temporarily deviate from one another due to micro structural factors. Hungary's credit risk premium is … primarily defined in the Hungarian sovereign CDS market, which means that any new information pertaining to Hungary's credit …

Persistent link: https://www.econbiz.de/10010322419

Determinants of spreads on sovereign bank loans: The role of credit history

Benczúr, Péter; Ilut, Cosmin - 2006

This paper is an empirical investigation into the role of credit history in determining the spread on sovereign bank loans. It employs an error-in-variables approach used in rational-expectations-macro-econometrics to set up a structural model that links sovereign loan spreads to realized...

Persistent link: https://www.econbiz.de/10010322423

Moral hazard and bail-out in fiscal federations: evidence for the German Länder

Heppke-Falk, Kirsten H.; Wolff, Guntram B. - 2007

We identify investor moral hazard in the German fiscal federation. Our identification strategy is based on a variable, which was used by the German Federal Constitutional Court as an indicator to determine eligibility of two German states (Länder) to a bail-out, the interest payments-to-revenue...

Persistent link: https://www.econbiz.de/10010295844

How important is liquidity risk for sovereign bond risk premia? Evidence from the London Stock Exchange

Alquist, Ron - 2008

This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign...

Persistent link: https://www.econbiz.de/10010279951

The forint interest rate swap market and the main drivers of swap spreads

Csávás, Csaba; Varga, Lóránt; Balogh, Csaba - 2008

In our paper we present the most important characteristics of the forint interest rate swap market, as well as examine the determinants and the information content of the forint interest rate swap spreads. The turnover of the forint interest rate swap market has grown dynamically in recent...

Persistent link: https://www.econbiz.de/10010322396

An empirical study on the decoupling movements between corporate bond and CDS spreads

Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009

Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and corporate bond markets by comparing the sensitivity of the credit spreads on each market to systematic, idiosyncratic risk factors and liquidity. Our analysis confirms the existence...

Persistent link: https://www.econbiz.de/10011605131

Price formation and liquidity provision in short-term fixed income markets

D'Souza, Chris; Lo, Ingrid; Sapp, Stephen - 2007

Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient. The...

Persistent link: https://www.econbiz.de/10010279998

Default-risky Sovereign Debt

Wiggers, Andreas - 2002

Not only corporate but also sovereign debtors, in particular developing countries, may get into financial difficulties. Contrary to corporate issuers, they decide themselves if they continue to fulfill their debt obligations or convert their debt. I analyze the value of a default-risky sovereign...

Persistent link: https://www.econbiz.de/10010263080

Cousin risks: the extent and the causes of positive correlation between country and currency risks

Lowenkron, Alexandre; Garcia, Márcio - 2005

Persistent link: https://www.econbiz.de/10011807332

The Impact of Political Risk on Sovereign Bond Spreads - Evidence from Latin America

Moser, Christoph - 2007

Sovereign risk is defined as a country?s ability-to-pay and willingness-to-pay its debt. This paper examines how cabinet reshuffles affecting the ministry of finance or economics are perceived by sovereign bond holders in twelve Latin American countries from 1992 to 2005. We find that such...

Persistent link: https://www.econbiz.de/10010296045

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