Predictability dynamics of emerging sovereign CDS markets
نویسندگان
چکیده
منابع مشابه
Sovereign CDS and Bond Pricing Dynamics in Emerging Markets: Does the Cheapest-to-Deliver Option Matter?
We examine the relationships between credit default swap (CDS) premiums and bond yield spreads for nine emerging market sovereign borrowers. We find that these two measures of credit risk deviate considerably in the short run, due to factors such as liquidity and contract specifications, but we estimate a stable long-term equilibrium relationship for most countries. In particular, CDS premiums ...
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2017
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2017.09.015