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Pricing of Sovereign Credit Risk : Evidence From Advanced Economies During the Financial Crisis / Emre Alper, Lorenzo Forni, Marc Gerard.
- Format:
- Book
- Government document
- Author/Creator:
- Alper, C. Emre.
- Series:
- IMF Working Papers; Working Paper ; No. 2012/024
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Debts, External--Developed countries.
- Debts, External.
- Country risk--Developed countries.
- Country risk.
- Global Financial Crisis, 2008-2009.
- Physical Description:
- 1 online resource (29 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2012.
- Language Note:
- English
- Summary:
- 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 arbitrage relationship between the cash (RAS) and the derivatives (CDS) markets, with price discovery taking place in the latter. Likewise, panel regressions aimed at uncovering the fundamental drivers of the two indicators show that the CDS market, although less liquid, has provided a better signal for sovereign credit risk during the period of the recent financial crisis.
- 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
- Notes:
- Description based upon print version of record.
- Includes bibliographical references.
- Description based on print version record.
- ISBN:
- 9781463965921
- 1463965923
- 9781463933777
- 1463933770
- 9781463938369
- 1463938365
- OCLC:
- 870244871
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