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...

Full description

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
Online Access:Texto completo
Table of Contents:
  • Cover; Contents; I. Introduction; II. Dynamic Relationships between CDS and RAS Spreads; III. Determinants of CDS and RAS Spreads; IV. Concluding Remarks; Data Appendix; Figures; 1. CDS Gross Notional Outstanding Amounts as a Share of Total Public Debt: Selected Countries over the Period 2008-11; 2. CDS and RAS Spread Developments; 3. Expected one year ahead Primary Deficit and CDS/RAS Spreads
  • Large Advanced Economies; 4. Expected one year ahead Primary Deficit and CDS/RAS Spreads
  • Selected; Tables; 1. Panel and Individual Unit Root Test Results on the Basis (CDS-RAS).
  • 2. Individual Cointegration Test and Error-correction Model Estimation Results for CDS and RAS Spreads3. CDS Spreads Regressions; 4. RAS Spreads Regressions; 5. CDS Spreads Regressions
  • Country Breakdown; 6. RAS Spreads Regressions
  • Country Breakdown; References.

Similar Items