Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/185981 
Erscheinungsjahr: 
2011
Quellenangabe: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 147 [Issue:] 3 [Publisher:] Springer [Place:] Heidelberg [Year:] 2011 [Pages:] 275-302
Verlag: 
Springer, Heidelberg
Zusammenfassung: 
We examine the empirical relationship between credit default swap (CDS) premia and government bond spreads for Portugal, Italy, Ireland, Greece, and Spain (the 'PIIGS' countries). We find some evidence for a long-run relationship in the sense of cointegration for the two markets. In most cases (five out of seven), only CDS premia contribute to the price discovery process. In the other cases, both markets make a more or less equal contribution. All in all, this suggests that bond spreads react only sluggishly to long-term imbalances, as measured by the cointegrating relationship. In light of this, we can conclude that, in most cases, CDS markets are leading markets if there is a long-run relationship between the CDS and gov-ernment bond spread markets. This may partly be due to liquidity effects.
Schlagwörter: 
Greek debt crisis
sovereign credit
CDS market
price discovery
JEL: 
C58
G01
G12
G15
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
354.02 kB





Publikationen in EconStor sind urheberrechtlich geschützt.