Regime Switching Determinants of the Japanese Sovereign Credit Default Swaps Spreads
نویسندگان
چکیده
منابع مشابه
Sovereign Debt Renegotiation and Credit Default Swaps
A credit default swap (CDS) contract provides insurance against default. After a country defaults, the country and its lenders usually negotiate over the share of the defaulted debt to be repaid. This paper incorporates CDS contracts into a sovereign default model and demonstrates that the existence of a CDS market results in lower default probability, higher debt levels, and lower nancing cost...
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This Working Paper should not be reported as representing views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. In this paper we examine equilibrium price relationships and pric...
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In a sovereign debt model with endogenous default, I add uncertainty about the long-run prospects of the emerging country to account for the high spreads and relatively frequent default episodes observed in these countries. The existing literature cannot account for the business cycle moments of the spreads: the spreads are generally too low and when they are increased through some adjustments ...
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We investigate the term structure of credit spreads and credit default swaps for different rating categories. It is well-known quite that for issuers with lower credit quality higher spreads can be observed in the market and vice versa. However, empirical results on spreads for bonds with the same rating but different maturities are rather controversial. We provide empirical results on the term...
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ژورنال
عنوان ژورنال: International Journal of Trade, Economics and Finance
سال: 2015
ISSN: 2010-023X
DOI: 10.7763/ijtef.2015.v6.457