کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088737 | 1478323 | 2015 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Credit default swaps and the market for sovereign debt
ترجمه فارسی عنوان
معامله پیش بینی اعتباری و بازار بدهی های دولتی
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
In this paper, we analyze the determinants and effects of credit default swap (CDS) trading initiation in the sovereign bond market. CDS trading initiation is associated with a 30-150 basis point reduction in sovereign bond yields, with greater yield reductions accruing to higher default risk economies. For countries with high default risk, rated B or lower by Standard and Poor's, CDS initiation is also associated with significant price efficiency benefits in the underlying market. CDS trading initiation is more likely following increases in local equity index volatility, index spreads for regional and global CDS markets, or depreciation of the local currency relative to the US dollar, and decreases in a country's ability to service foreign debt. Our results are robust to selection bias controls based on these factors.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 52, March 2015, Pages 43-61
Journal: Journal of Banking & Finance - Volume 52, March 2015, Pages 43-61
نویسندگان
Iuliana Ismailescu, Blake Phillips,