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Credit default swap and bond markets: which leads the other?

Citations

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Cited by:

  1. Anouk Levels & René de Sousa van Stralen & Sînziana Kroon Petrescu & Iman van Lelyveld, 2018. "CDS market structure and risk flows: the Dutch case," DNB Working Papers 592, Netherlands Central Bank, Research Department.
  2. Christopher Findlay & Silvia Sorescu & Camilo Umana Dajud, 2016. "Markets are Smart! Structural Reforms and Country Risk," Working Papers 2016-23, CEPII research center.
  3. Petra Buzkova & Milos Kopa, 2016. "On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 510-538, December.
  4. Kliber Agata, 2016. "Impact Of The Ban On Uncovered SCDS Trade On the Interdependencies Between The CDS Market And Other Sectors Of Financial Markets. The Case Of Safe And Developed Versus Risky And Developing European Ma," Comparative Economic Research, Sciendo, vol. 19(1), pages 77-99, March.
  5. Rosella Castellano & Luisa Scaccia, 2014. "Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 285-305, June.
  6. 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.
  7. Gong, Yaxian, 2020. "Credit default swap and two-sided moral hazard," Finance Research Letters, Elsevier, vol. 34(C).
  8. Vuillemey, Guillaume & Peltonen, Tuomas A., 2015. "Disentangling the bond–CDS nexus: A stress test model of the CDS market," Economic Modelling, Elsevier, vol. 49(C), pages 32-45.
  9. Syed Jawad Hussain Shahzad & Safwan Mohd Nor & Nur Azura Sanusi & Ronald Ravinesh Kumar, 2018. "The Determinants of Credit Risk: Analysis of US Industry-level Indices," Global Business Review, International Management Institute, vol. 19(5), pages 1152-1165, October.
  10. Debarsy, Nicolas & Dossougoin, Cyrille & Ertur, Cem & Gnabo, Jean-Yves, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 21-45.
  11. Jason Z. Ma & Xiang Deng & Kung-Cheng Ho & Sang-Bing Tsai, 2018. "Regime-Switching Determinants for Spreads of Emerging Markets Sovereign Credit Default Swaps," Sustainability, MDPI, vol. 10(8), pages 1-17, August.
  12. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2017. "Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 46-61.
  13. Alessandro Carboni, 2011. "The sovereign credit default swap market: price discovery, volumes and links with banks' risk premia," Temi di discussione (Economic working papers) 821, Bank of Italy, Economic Research and International Relations Area.
  14. Maria E. de Boyrie & Ivelina Pavlova, 2020. "Analysing the link between environmental performance and sovereign credit risk," Applied Economics, Taylor & Francis Journals, vol. 52(54), pages 5949-5966, November.
  15. Agata Kliber, 2013. "Influence of the Greek Crisis on the Risk Perception of European Economies," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(2), pages 125-161, June.
  16. Ma, Jason Z. & Deng, Xiang & Ho, Kung-Cheng & Tsai, Sang-Bing, 2018. "Regime-switching determinants of emerging markets sovereign credit risk swaps spread," Economics Discussion Papers 2018-52, Kiel Institute for the World Economy (IfW Kiel).
  17. León, Carlos & Leiton, Karen & Pérez, Jhonatan, 2014. "Extracting the sovereigns’ CDS market hierarchy: A correlation-filtering approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 407-420.
  18. Kim, Gi H. & Li, Haitao & Zhang, Weina, 2016. "CDS-bond basis and bond return predictability," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 307-337.
  19. Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari, 2011. "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," LSF Research Working Paper Series 11-04, Luxembourg School of Finance, University of Luxembourg.
  20. De Pooter, Michiel & Martin, Robert F. & Pruitt, Seth, 2018. "The Liquidity Effects of Official Bond Market Intervention," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 243-268, February.
  21. Patrick Augustin, 2012. "Sovereign Credit Default Swap Premia," Working Papers 12-10, New York University, Leonard N. Stern School of Business, Department of Economics.
  22. da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina, 2014. "Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-27.
  23. Agata Kliber & Barbara Bedowska-Sojka, 2013. "Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 87-106.
  24. repec:cii:cepiei:2015-q1-141-4 is not listed on IDEAS
  25. Paniagua, Jordi & Sapena, Juan & Tamarit, Cecilio, 2017. "Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust," Journal of Financial Stability, Elsevier, vol. 33(C), pages 187-206.
  26. Bȩdowska-Sójka, Barbara & Kliber, Agata, 2022. "Impact of COVID-19 on sovereign risk: Latin America versus Asia," Finance Research Letters, Elsevier, vol. 47(PA).
  27. Carlos Eduardo Léon Rincón & Karen Juliet Leiton & Jhonatan Pérez Villalobos, 2013. "Extracting the sovereigns´ CDS market hierarchy: a correlation-filtering approach," Borradores de Economia 10749, Banco de la Republica.
  28. J. Alsubaiei, Bader & Calice, Giovanni & Vivian, Andrew, 2021. "Sovereign CDS and mutual funds: Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  29. Tropeano, D., 2013. "Financial Fragility in the Current European crisis," CITYPERC Working Paper Series 2013-09, Department of International Politics, City University London.
  30. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
  31. Carnazza, Giovanni & Liberati, Paolo, 2021. "The asymmetric impact of the pandemic crisis on interest rates on public debt in the Eurozone," Journal of Policy Modeling, Elsevier, vol. 43(3), pages 521-542.
  32. Agiakloglou, Christos & Deligiannakis, Emmanouil, 2020. "Sovereign risk evaluation for European Union countries," Journal of International Money and Finance, Elsevier, vol. 103(C).
  33. Arif P. Sulistiono & Miki Ishida, 2019. "Finding The Driver: A Case Study Of Indonesian Government Bond Market," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(03), pages 543-574, June.
  34. Bratis, Theodoros & Laopodis, Nikiforos T. & Kouretas, Georgios P., 2020. "Systemic risk and financial stability dynamics during the Eurozone debt crisis," Journal of Financial Stability, Elsevier, vol. 47(C).
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