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The interactions and trade-offs of sovereign Credit Default SWAP (CDS) and bond spreads in a dynamic context
Tampakoudis, Ioannis A.; Tamošiūnas, Andrius; … - In: Journal of business economics and management 20 (2019) 3, pp. 466-488
This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and bond spreads of the highly indebted southern European countries, considering an extensive time sample from the period before the global financial crisis to the latest developments...
Persistent link: https://www.econbiz.de/10012175748
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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
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The Changing Landscape of Sovereign Credit Risk
Beers, David - 2015
The risks to global financial stability posed by recent defaults by government borrowers have, for the most part, been manageable. However, the dynamics underpinning the ad hoc arrangements for resolving sovereign defaults are changing. Public debt burdens in many advanced economies are set to...
Persistent link: https://www.econbiz.de/10013022317
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Sovereign Contagion in Europe : Evidence from the CDS Market
Manasse, Paolo - 2013
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at the empirical evidence on European sovereigns CDS spreads...
Persistent link: https://www.econbiz.de/10013088213
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In Sickness and in Debt : The COVID-19 Impact on Sovereign Credit Risk
Augustin, Patrick - 2020
The COVID-19 pandemic provides a unique setting in which to evaluate the importance of a country's fiscal capacity in explaining the relation between economic growth shocks and sovereign default risk. For a sample of 30 developed countries, we find a positive and significant sensitivity of...
Persistent link: https://www.econbiz.de/10012832689
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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at the empirical evidence on European sovereigns CDS spreads...
Persistent link: https://www.econbiz.de/10011731038
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Interpreting Sovereign Spreads
Remolona, Eli M. - 2013
Sovereign spreads can be broken up into two components: the expected loss from default and the risk premium, with the latter reflecting how investors price the risk of unexpected losses. We show that the risk premium is often the larger part of the spread
Persistent link: https://www.econbiz.de/10013094774
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The Transmission of Euro Area Sovereign Risk Contagion : Evidence from Intraday CDS and Bond Markets
Ters, Kristyna - 2016
We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as well as for France and Germany. Our findings suggest...
Persistent link: https://www.econbiz.de/10012979715
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Intraday Dynamics of Euro Area Sovereign CDS and Bonds
Gyntelberg, Jacob - 2014
The recent sovereign debt crisis in the euro area has seen credit spreads on sovereign bonds and credit default swaps (CDS) surge for a number of member states. While these events have increased interest in understanding the dynamics of sovereign spreads in bond and CDS markets, there is little...
Persistent link: https://www.econbiz.de/10013059564
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Do enhanced collective action clauses affect sovereign borrowing costs?
Chung, Kay; Papaioannou, Michael G. - In: Journal of banking and financial economics 1 (2021) 15, pp. 59-87
This paper analyzes the effects of including collective action clauses (CACs) and enhanced CACs in international (nondomestic law-governed) sovereign bonds on sovereigns’ borrowing costs, using secondary-market bond yield spreads. Our findings indicate that inclusion of enhanced CACs,...
Persistent link: https://www.econbiz.de/10012887842