Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis

dc.contributor.authorPeña, J. I. (Juan Ignacio)
dc.contributor.authorMayordomo, S. (Sergio)
dc.contributor.authorArce, O. (Óscar)
dc.date.accessioned2017-03-27T13:41:46Z
dc.date.available2017-03-27T13:41:46Z
dc.date.issued2012
dc.description.abstractWe analyse the extent to which prices in the sovereign credit default swap (CDS) and bond markets reflect the same information on credit risk in the context of the current crisis of the European Monetary Union (EMU). We first document that deviations between CDS and bond spreads are related to counterparty risk, common volatility in EMU equity markets, market illiquidity, funding costs, flight-to-quality, and the volume of debt purchases by the European Central Bank (ECB) in the secondary market. Based on this we conduct a state-dependent price-discovery analysis that reveals that the levels of the counterparty risk and the common volatility in EMU equity markets, and the banks agreements to accept losses on their holdings of Greek bonds impair the ability of the CDS market to lead the price discovery process. On the other hand, the funding costs, the flight-to-quality indicator and the volume of debt purchases by the ECB worsen the efficiency of the bond market.es_ES
dc.identifier.citationArce, O. (Óscar); Mayordomo, S. (Sergio); Peña, J. I. (Juan Ignacio). "Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis". En . , 2012,es
dc.identifier.urihttps://hdl.handle.net/10171/43141
dc.language.isoenges_ES
dc.relation.centerFacultad de Económicas y Empresariales
dc.relation.departmentDepartamento de Economía
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.subjectMaterias Investigacion::Economía y Empresaes_ES
dc.subjectSovereign credit default swapses_ES
dc.subjectSovereign bondses_ES
dc.subjectCredit spreadses_ES
dc.subjectPrice discoveryes_ES
dc.titleCredit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisises_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dspace.entity.typePublicationes
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relation.isAuthorOfPublication.latestForDiscoveryb86fb03b-5ae2-4d3c-96ff-160d98a59cfd

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