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Sovereign Credit Default Swap Premia

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  • Patrick Augustin
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    File URL: http://web-docs.stern.nyu.edu/old_web/economics/docs/workingpapers/2012/Augustin_SovereignCDS_Apr2012.pdf
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    Bibliographic Info

    Paper provided by New York University, Leonard N. Stern School of Business, Department of Economics in its series Working Papers with number 12-10.

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    Date of creation: 2012
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    Handle: RePEc:ste:nystbu:12-10

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    Postal: New York University, Leonard N. Stern School of Business, Department of Economics, 44 West 4th Street, New York, NY 10012-1126
    Phone: (212) 998-0860
    Fax: (212) 995-4218
    Web page: http://w4.stern.nyu.edu/economics/
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    References

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    1. C. Emre Alper & Lorenzo Forni & Marc Gerard, 2013. "Pricing of Sovereign Credit Risk: Evidence from Advanced Economies during the Financial Crisis," International Finance, Wiley Blackwell, vol. 16(2), pages 161-188, 06.
    2. Jankowitsch, Rainer & Pullirsch, Rainer & Veza, Tanja, 2008. "The delivery option in credit default swaps," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1269-1285, July.
    3. Michael P. Dooley & Michael M. Hutchison, 2009. "Transmission of the U.S. Subprime Crisis to Emerging Markets: Evidence on the Decoupling-Recoupling Hypothesis," NBER Working Papers 15120, National Bureau of Economic Research, Inc.
    4. Ismailescu, Iuliana & Kazemi, Hossein, 2010. "The reaction of emerging market credit default swap spreads to sovereign credit rating changes," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2861-2873, December.
    5. Edda Zoli & Silvia Sgherri, 2009. "Euro Area Sovereign Risk During the Crisis," IMF Working Papers 09/222, International Monetary Fund.
    6. Viral V. Acharya & Itamar Drechsler & Philipp Schnabl, 2011. "A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk," NBER Working Papers 17136, National Bureau of Economic Research, Inc.
    7. Fontana, Alessandro & Scheicher, Martin, 2010. "An analysis of euro area sovereign CDS and their relation with government bonds," Working Paper Series 1271, European Central Bank.
    8. Li Nan, 2011. "Price Discovery between Sovereign Credit Default Swaps and Bond Yield Spreads of Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 10(2), pages 197-225, August.
    9. Jun Pan & Kenneth J. Singleton, 2008. "Default and Recovery Implicit in the Term Structure of Sovereign "CDS" Spreads," Journal of Finance, American Finance Association, vol. 63(5), pages 2345-2384, October.
    10. Wang, Ping & Moore, Tomoe, 2012. "The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 1-15.
    11. Kucuk, Ugur N., 2010. "Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market," MPRA Paper 27428, University Library of Munich, Germany.
    12. Ammer, John & Cai, Fang, 2011. "Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 369-387, July.
    13. Ejsing, Jacob & Lemke, Wolfgang, 2009. "The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09," Working Paper Series 1127, European Central Bank.
    14. Rene M. Stulz, 2010. "Credit Default Swaps and the Credit Crisis," Journal of Economic Perspectives, American Economic Association, vol. 24(1), pages 73-92, Winter.
    15. Delatte, Anne-Laure & Gex, Mathieu & López-Villavicencio, Antonia, 2012. "Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 481-497.
    16. Coudert, V. & Gex, M., 2010. "Credit default swap and bond markets: which leads the other?," Financial Stability Review, Banque de France, issue 14, pages 161-167, July.
    17. Delis, Manthos D. & Mylonidis, Nikolaos, 2011. "The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps," Finance Research Letters, Elsevier, vol. 8(3), pages 163-170, September.
    18. Dion Bongaerts & Frank De Jong & Joost Driessen, 2011. "Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, vol. 66(1), pages 203-240, 02.
    19. Patrick Bolton & Martin Oehmke, 2011. "Credit Default Swaps and the Empty Creditor Problem," Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2617-2655.
    20. Miguel A. Segoviano Basurto & Carlos Caceres & Vincenzo Guzzo, 2010. "Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?," IMF Working Papers 10/120, International Monetary Fund.
    21. Nan Li, 2009. "The price discovery process in credit derivative market: evidence from sovereign CDS market," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 1(4), pages 393-407.
    22. Carr, Peter & Wu, Liuren, 2007. "Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2383-2403, August.
    23. Manmohan Singh, 2003. "Are Credit Default Swaps Spreads High in Emerging Markets-An Alternative Methodology for Proxying Recovery Value," IMF Working Papers 03/242, International Monetary Fund.
    24. Virginie Coudert & Mathieu Gex, 2011. "The Interactions Between the Credit Default Swap and the Bond Markets in Financial Turmoil," Working Papers 2011-02, CEPII research center.
    25. Stefano Giglio, 2011. "Credit default swap spreads and systemic financial risk," Proceedings 1122, Federal Reserve Bank of Chicago.
    26. Plank, Thomas J., 2010. "Do Macro-economic Fundamentals Price Sovereign CDS Spreads of Emerging Economies?," Working Papers 10-5, University of Pennsylvania, Wharton School, Weiss Center.
    27. Lóránt Varga, 2009. "The information content of Hungarian sovereign CDS spreads," MNB Occasional Papers 2009/78, Magyar Nemzeti Bank (the central bank of Hungary).
    28. Kathryn Chen & Michael Fleming & John Jackson & Ada Li & Asani Sarkar, 2011. "An analysis of CDS transactions: implications for public reporting," Staff Reports 517, Federal Reserve Bank of New York.
    29. Roberto Blanco & Simon Brennan & Ian W. Marsh, 2005. "An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps," Journal of Finance, American Finance Association, vol. 60(5), pages 2255-2281, October.
    30. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market," NBER Working Papers 10418, National Bureau of Economic Research, Inc.
    31. Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A., 2012. "Counterparty credit risk and the credit default swap market," Journal of Financial Economics, Elsevier, vol. 103(2), pages 280-293.
    32. Goderis, Benedikt & Wagner, Wolf, 2009. "Credit Derivatives and Sovereign Debt Crises," MPRA Paper 17314, University Library of Munich, Germany.
    33. Jean Helwege & Samuel Maurer & Asani Sarkar & Yuan Wang, 2009. "Credit default swap auctions," Staff Reports 372, Federal Reserve Bank of New York.
    34. Filippo Brutti & Philip Sauré, 2012. "Transmission of Sovereign Risk in the Euro Crisis," Working Papers 12.01, Swiss National Bank, Study Center Gerzensee.
    35. Jorge A. Chan-Lau & Yoon Sook Kim, 2004. "Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets," IMF Working Papers 04/27, International Monetary Fund.
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    Cited by:
    1. John Muellbauer, 2013. "Conditional Eurobonds and the Eurozone Sovereign Debt Crisis," Economics Series Working Papers 681, University of Oxford, Department of Economics.

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