before the transaction. We apply an endogenous liquidity-based model to order books and credit default swap (CDS … apply our model to a set of CDS transactions in order to find a “realized” endogenous liquidity component. We conclude that …We distinguish exogenous liquidity, which corresponds to the variability of bid-ask spreads for usual …

perception of sovereign default risk increased. The theory of complete markets suggests that sovereign debt spreads and credit … default swap (CDS) premia should track each other very closely, as a CDS is in e ect a short bond position. In addition …, liquidity risk should be priced into both instruments in such a way that buying exposure to the same default risk is identically …

sovereign credit default swap (CDS) market and the liquidity of the sovereign bond market for a group of Eurozone countries … increased substantially over the 2007-2010 period whilst CDS liquidity spreads have fallen dramatically. For some countries … prospect of sovereign default risk increased. This paper examines the potential spillovers between the liquidity of the …

(resp. low). However the quality of this signal and market liquidity are different in each market design. We test these …

The purpose of this paper is to determine the factors that shape the liquidity levels of euro area sovereign bonds. The … values of liquidity measure and explanatory variables were calculated from the limitorder book dataset for almost five …-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity …

analysis to the liquidity driven bond/CDS basis to examine the proportion of systematic and idiosyncratic determinants of …This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By … and market liquidity spread components in government bonds and investigate their dynamics across the Euro Area. Short …

how the pecking order theory of trading actually functions. …

We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting …-form formulae for CDS prices, and estimate the model by matching theoretical prices to their empirical counterparts. We find …

the empirical evidence on European sovereigns CDS spreads and estimate an econometric model where a crucial role is played … by time varying parameters. We model CDS spread changes at country level as reflecting three different factors: a Global …

This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity … discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek … the liquidity discovery induced by the COVID-19 pandemic. Within a cointegration model, we find that price discovery …