Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
964110 | Journal of International Money and Finance | 2013 | 22 Pages |
Abstract
⺠We analyze if EMU sovereign CDS and bonds reflect the same information on credit risk. âºÂ Deviations between CDS and bond spreads are explained by risk and liquidity factors. ⺠The contribution to price discovery by CDS and bond prices is state-dependent. ⺠Counterparty risk, equity volatility, and Greek debt haircuts worsened CDS efficiency. ⺠Funding costs, flight-to-quality and ECB debt purchases worsened bonds efficiency.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Oscar Arce, Sergio Mayordomo, Juan Ignacio Peña,