Greek sovereign credit market dynamics: Credit Default Swap and bond spreads' linkages

Autor:	Ioannis A. Tampakoudis, Ioannis G. Kroustalis, Demetres N. Subeniotis
Rok vydání:	2012
Předmět:	Credit default swap index Market depth Credit default swap iTraxx Economics Sovereign credit Credit derivative Financial system Business and International Management Credit valuation adjustment General Economics Econometrics and Finance Credit risk
Zdroj:	International Journal of Trade and Global Markets. 5:268
ISSN:	1742-755X 1742-7541
DOI:	10.1504/ijtgm.2012.049989
Popis:	This study investigates the dynamic relationship between the Greek sovereign Credit Default Swap (CDS) and bond markets, using daily CDS and bond spreads from January 2006 to December 2010. We attempt to enlighten the conflicting conclusions of previous literature referring to sovereign credit market dynamics. The co-integration analysis suggests the existence of a long-run equilibrium relationship between the two markets. Concerning the short run, estimating a Vector Error Correction Model (VECM), we find that the bond market adjusts faster than the CDS market towards long run equilibrium. This result underlines the leading role of the Greek sovereign CDS market in the price discovery process.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::b722616884011db93e98670ccc0b2c72 https://doi.org/10.1504/ijtgm.2012.049989 Zobrazit plný text záznamu