| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17586 |
| 来源ID | Working Paper 17586 |
| Sovereign CDS and Bond Pricing Dynamics in the Euro-area | |
| Giorgia Palladini; Richard Portes | |
| 发表日期 | 2011-11-10 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same reference entity. The theoretical no-arbitrage relationship between the two credit spreads is confronted with daily data from six Euro-area countries over the period 2004-2011. As a first step, the supposed non stationarity of the two series is verified. Then, we examine whether the non-stationary CDS and bond spreads series are bound by a cointegration relationship. Overall the cointegration analysis confirms that the two prices should be equal to each other in equilibrium, as theory predicts. Nonetheless the theoretical value [1, -1] for the cointegrating vector is rejected, meaning that in the short run the cash and synthetic market's valuation of credit risk differ to various degrees. The VECM analysis suggests that the CDS market moves ahead of the bond market in terms of price discovery. These findings are further supported by the Granger Causality Test: for most sovereigns in the sample, past values of CDS spreads help to forecast bond yield spreads. Short-run deviations from the equilibrium persist longer than it would take for participants in one market to observe the price in the other. That is consistent with the hypothesis of imperfections in the arbitrage relationship between the two markets. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w17586 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575261 |
| 推荐引用方式 GB/T 7714 | Giorgia Palladini,Richard Portes. Sovereign CDS and Bond Pricing Dynamics in the Euro-area. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17586.pdf（488KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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