| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4711 |
| DP4711 Cross-Skill Redistribution and the Trade-Off Between Unemployment Benefits and Employment Protection | |
| Tito Boeri; Vincenzo Galasso; José Ignacio Conde-Ruiz | |
| 发表日期 | 2004-10-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | This Paper analyses the empirical relationship between credit default swap, bond and stock markets during the period 2000-02. Focusing on the intertemporal comovement, we examine weekly and daily lead-lag relationships in a vector autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa. Third, the CDS market is significantly more sensitive to the stock market than the bond market and the magnitude of this sensitivity increases when credit quality becomes worse. Finally, the CDS market plays a more important role for price discovery than the corporate bond market. |
| 主题 | Financial Economics |
| 关键词 | Credit risk Credit spreads Credit derivatives Lead-lag relationship |
| URL | https://cepr.org/publications/dp4711 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533629 |
| 推荐引用方式 GB/T 7714 | Tito Boeri,Vincenzo Galasso,José Ignacio Conde-Ruiz. DP4711 Cross-Skill Redistribution and the Trade-Off Between Unemployment Benefits and Employment Protection. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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