Intraday dynamics of euro area sovereign CDS and bonds
Vorschaubild nicht verfügbar
Autor:innen
Autor:in (Körperschaft)
Publikationsdatum
09/2013
Typ der Arbeit
Studiengang
Sammlung
Typ
01B - Beitrag in Magazin oder Zeitung
Herausgeber:innen
Herausgeber:in (Körperschaft)
Betreuer:in
Übergeordnetes Werk
Bank for International Settlements Working Paper
Themenheft
DOI der Originalpublikation
Link
Reihe / Serie
Reihennummer
Jahrgang / Band
Ausgabe / Nummer
423
Seiten / Dauer
1-82
Patentnummer
Verlag / Herausgebende Institution
Bank for International Settlements
Verlagsort / Veranstaltungsort
Auflage
Version
Programmiersprache
Abtretungsempfänger:in
Praxispartner:in/Auftraggeber:in
Zusammenfassung
The recent sovereign debt crisis in the euro area has seen credit spreads on sovereign bonds and credit default swaps (CDS) surge for a number of member states. While these events have increased interest in understanding the dynamics of sovereign spreads
in bond and CDS markets, there is little agreement in the literature as to whether one of the two markets is more important than the other in terms of price discovery of sovereign credit risk. In this paper we reexamine this issue using intraday data for both market segments and employing carefully constructed cash (bond) spreads to ensure proper comparability with CDS spreads. This enables us to obtain much sharper estimates in our empirical analysis, and hence substantially clearer results with respect to price discovery. We find that the pricing of sovereign credit risk in the bond and in the CDS market converges over time, and that deviations between
the two market segments do not persist for long. A key result is that the CDS market dominates the bond market in terms of price discovery in the vast majority of cases we examine. That is, CDS premia in many cases adjust more quickly to reflect new information than bonds spreads. This result holds also when taking into account transaction costs in the analysis.
Schlagwörter
Sovereign credit risk, credit default swaps, price discovery, intraday
Fachgebiet (DDC)
Veranstaltung
Startdatum der Ausstellung
Enddatum der Ausstellung
Startdatum der Konferenz
Enddatum der Konferenz
Datum der letzten Prüfung
ISBN
ISSN
1020-0959
1682-7678
1682-7678
Sprache
Englisch
Während FHNW Zugehörigkeit erstellt
Nein
Publikationsstatus
Veröffentlicht
Begutachtung
Peer-Review der ganzen Publikation
Open Access-Status
Lizenz
Zitation
TERS, Kristyna, Peter HOERDAHL, Jacob GYNTELBERG und Jörg URBAN, 2013. Intraday dynamics of euro area sovereign CDS and bonds. Bank for International Settlements Working Paper. September 2013. Nr. 423, S. 1–82. Verfügbar unter: http://hdl.handle.net/11654/24901