Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286205 
Title (translated): 
Diferenciales de bonos soberanos y primas de CDS en la zona euro: Un análisis de causalidad
Year of Publication: 
2020
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 30 [Year:] 2020 [Pages:] 58-78
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract: 
This article presents an analysis of the possible relationship between the spreads of sovereign bonds and the premia of credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either separately or by taking into account the joint evolution of their values. The data refer to ten countries in the Eurozone along 2008-2016. By applying the causality Granger test for these variables, after six different ways of proxy, CDS premia are found to be the cause of the risk spreads in certain cases, although a bidirectional relationship is predominant in many other cases. So the CDS market contains clear and highly useful information on the sovereign risk.
Subjects: 
sovereign risk
credit risk
CDS
causality
JEL: 
G15
H63
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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