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Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

Chan-Lau, Jorge A. - 2004

This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and … equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various … bond and CDS markets and the equity markets. As for price discovery, our results are mixed. This stands in contrast to the …

Persistent link: https://www.econbiz.de/10014404117

Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets

Hui, Cho H.; Lo, Chi-Fai; Chau, Po-Hon - 2016

Persistent link: https://www.econbiz.de/10012200848

Non-default component of sovereign emerging market yield spreads and its determinants : evidence from the credit default swap market

Küçük, Ugur N. - In: The journal of fixed income 19 (2009/10) 4, pp. 44-66

Persistent link: https://www.econbiz.de/10003970353

Identifying risks in emerging market sovereign and corporate bond spreads

Zinna, Gabriele - In: Emerging markets review 20 (2014), pp. 1-22

Persistent link: https://www.econbiz.de/10010419487

Non-Default Component of Sovereign Emerging Market Yield Spreads and Its Determinants : Evidence from Credit Default Swap Market

Küçük, Uğur N. - 2019

credit default swap (CDS) premium and the hypothetical CDS premium implied by emerging market bond yields. On average, the … quality is bad. I study the effects of bond liquidity, liquidity in the CDS market, equity market performance and … macroeconomic variables on the non-default component of the emerging market yield spreads. I show that bond liquidity has a …

Persistent link: https://www.econbiz.de/10012906256

Inside the Emerging Markets Risky Spreads and Credit Default Swap - Sovereign Bonds Basis

Yordanov, Vilimir - 2018

hold, and extract and quantify the inherent risk premia. Then we turn attention to the CDS-Bond basis in this multi …

Persistent link: https://www.econbiz.de/10012937615

On the predictability of emerging market sovereign credit spreads

Audzeyeva, Alena; Fuertes, Ana María - In: Journal of international money and finance 88 (2018), pp. 140-157

Persistent link: https://www.econbiz.de/10012000882

Sovereign bond spreads and extra-financial performance : an empirical analysis of emerging markets

Margaretic, Paula; Pouget, Sébastien - In: International review of economics & finance : IREF 58 (2018), pp. 340-355

Persistent link: https://www.econbiz.de/10012034221

Corporate credit spreads and the sovereign ceiling in Latin America

Grandes, Martín; Panigo, Demian Tupac; Pasquini, … - In: Emerging markets finance & trade : a journal of the … 53 (2017) 5, pp. 1217-1240

Persistent link: https://www.econbiz.de/10011764920

Chapter 21. Quantitative Models of Sovereign Debt Crises

Aguiar, M.; Chatterjee, S.; Cole, H.; Stangebye, Z. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1697-1755). 2016

This chapter is on quantitative models of sovereign debt crises in emerging economies. We interpret debt crises broadly to cover all of the major problems a country can experience while trying to issue new debt, including default, sharp increases in the spread and failed auctions. We examine the...

Persistent link: https://www.econbiz.de/10014024275