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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Alper, C. Emre (Author), Forni, Lorenzo (Author), Gerard, Marc (Author)
Format: Electronic eBook
Language:Inglés
Published: [Washington, D.C.] : International Monetary Fund, ©2012.
Series:IMF working paper ; WP/12/24.
Subjects:
2008-2009
Country risk > Econometric models.
Government securities > Econometric models.
Global Financial Crisis, 2008-2009 > Econometric models.
Risque pays > Modèles économétriques.
Effets publics > Modèles économétriques.
Crise financière mondiale, 2008-2009 > Modèles économétriques.
Country risk > Econometric models
Econometric models
Government securities > Econometric models
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