The explanatory factors of sovereign credit default swaps spreads: A quantile regression approach
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...
متن کاملThe complete picture of Credit Default Swap spreads - a Quantile Regression approach
We study the determinants of Credit Default Swap (CDS) spreads through quantile regressions. In addition to traditional variables, the results indicate that CDS spreads are also determined by illiquidity costs. However, contrary to stocks or bonds, we show that CDS transaction costs should be measured by absolute, rather than relative, bid-ask spreads. Quantile regressions indicate that both th...
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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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Although the results are based on a small sample • of Canadian fi rms, they are consistent with recent research on how liquidity risk is priced in corporate bond markets. Since the beginning of the credit crisis in mid2007, corporate spreads worldwide widened markedly. In Canada, the aggregate spread for investment-grade fi rms reached a maximum of 401 basis points (bps) in January and March of...
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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: The European Journal of Applied Economics
سال: 2020
ISSN: 2406-2588,2406-3215
DOI: 10.5937/ejae17-26097