yields over the credit default swap premium) in the Eurozone market by studying three markets simultaneously: 1) sovereign …We explore the dynamics of the adjusted swap spread (calculated as the difference between the swap rate and sovereign … bonds, 2) credit default swaps (CDS), and 3) swap rates. We find a strong relationship between the markets. Specifically …

We test the hypothesis that the government bond markets in the Eurozone are more fragile and more susceptible to self … countries in the Eurozone during 2010-11 was disconnected from underlying increases in the debt to GDP ratios and fiscal space … argue that this can drive member countries of the Eurozone into bad equilibria. We also find evidence that after years of …