This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and … integrated price discovery methodology on a rolling sample, with the intention to shed light on whether the CDS spreads can … trigger rises in bond spreads, and the relative efficiency of credit risk pricing in the CDS and bond markets. In addition, we …

We model two regimes using threshold cointegration and threshold vector error correction model for sovereign CDS and … equity markets of thirteen emerging markets. We document evidence of momentum in cointegration relationships in CDS and …

This study investigates the link between price discovery dynamics in sovereign credit default swaps (CDS) and bond … markets and degree of financial integration of emerging markets. Using CDS and sovereign bond spreads, the price discovery … that sovereign CDS and bond markets are co-integrated. In 57 percent of times, the CDS market leads in price discovery by …

show that price discovery takes place mostly on the CDS market. The importance of the CDS market even increases during the …'s contribution to price discovery. During the crisis period, however, we also find a positive link between leverage and CDS market …

show that price discovery takes place mostly on the CDS market. The importance of the CDS market even increases during the …'s contribution to price discovery. During the crisis period, however, we also find a positive link between leverage and CDS market …

This paper reexamines the determinants of credit default swaps (CDS) spreads in the U.S., Europe, and Asia … theoretical determinants of default risk and actual market pricing of CDS. Also, we provide additional evidence on the importance …

This paper reexamines the determinants of credit default swaps (CDS) spreads in the U.S., Europe, and Asia … theoretical determinants of default risk and actual market pricing of CDS. Also, we provide additional evidence on the importance …