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Pricing of sovereign credit risk : evidence from advanced economies during the financial crisis /
We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbit...
| Clasificación: | Libro Electrónico |
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| Autores principales: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
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| Colección: | IMF working paper ;
WP/12/24. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS) markets, with price discovery taking place in the latter. Likewise, panel regressions aimed at uncovering the fundamental drivers of the two indicators show that the CDS market, although less liquid, has provided a better signal for sovereign credit risk during the period of the recent financial crisis. |
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| Notas: | At head of title: Fiscal Affairs Department. Title from PDF title page (IMF Web site, viewed January 23, 2012). "January 2012." |
| Descripción Física: | 1 online resource (27 pages) : illustrations |
| Bibliografía: | Includes bibliographical references. |
| ISBN: | 9781463938369 1463938365 9781463933777 1463933770 |