Intraday dynamics of euro area sovereign CDS and bonds
AbstractThe recent sovereign debt crisis in the euro area has seen credit spreads on sovereign bonds and credit default swaps (CDS) surge for a number of member states. While these events have increased interest in understanding the dynamics of sovereign spreads in bond and CDS markets, there is little agreement in the literature as to whether one of the two markets is more important than the other in terms of price discovery of sovereign credit risk.
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Bibliographic InfoPaper provided by Bank for International Settlements in its series BIS Working Papers with number 423.
Length: 87 pages
Date of creation: Sep 2013
Date of revision:
Sovereign credit risk; credit default swaps; price discovery; intraday;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-09-24 (All new papers)
- NEP-EEC-2013-09-24 (European Economics)
- NEP-FMK-2013-09-24 (Financial Markets)
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