Andenmatten, Sergio; Brill, Felix - In: Swiss Journal of Economics and Statistics 147 (2011) 3, pp. 275-302
We examine the empirical relationship between credit default swap (CDS) premia and government bond spreads for Portugal, Italy, Ireland, Greece, and Spain (the 'PIIGS' countries). We find some evidence for a long-run relationship in the sense of cointegration for the two markets. In most cases...