The dynamics of sovereign credit default swap and bond markets: empirical evidence from the 2001 to 2007 period

Autor:	Rahmi Erdem Aktug, Youngsoo Bae, Geraldo M. Vasconcellos
Rok vydání:	2012
Předmět:	Credit default swap index Economics and Econometrics Credit default swap Market depth iTraxx Economics Market system Sovereign credit Financial system Capital market Credit risk
Zdroj:	Applied Economics Letters. 19:251-259
ISSN:	1466-4291 1350-4851
DOI:	10.1080/13504851.2011.572839
Popis:	This article evaluates the dynamic relationship between sovereign Credit Default Swap (CDS) and bond markets over the period 2001 to 2007 across 30 emerging markets. Our results suggest that the bond markets play a significant role in the price discovery process, which is in contrast with the corporate studies. We also show that the CDS markets play a more dominant role in lead–lag relationships compared to earlier studies on the sovereign credit markets.
Databáze:	OpenAIRE
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