Hidden Bibliographic Details
| Other authors / contributors: | Forni, Lorenzo, author.
Gerard, Marc, author.
International Monetary Fund. Fiscal Affairs Department, issuing body.
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| ISBN: | 9781463938369
1463938365
9781463933777
1463933770
9781463931865
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| Notes: | At head of title: Fiscal Affairs Department.
Title from PDF title page (IMF Web site, viewed January 23, 2012).
"January 2012."
Includes bibliographical references.
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| Summary: | We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS) markets, with price discovery taking place in the latter. Likewise, panel regressions aimed at uncovering the fundamental drivers of the two indicators show that the CDS market, although less liquid, has provided a better signal for sovereign credit risk during the period of the recent financial crisis.
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| Other form: | 9781463931865
9781463938369
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