The aim of this paper is to analyze the long-lasting dynamic relationship between the credit default swap (CDS) premia and the government bond spreads (GBS), with regard to the sovereign credit risk. The practical focus is to evaluate whether the CDS market effectively is the leading or the lagging market in the credit risk price discovery process during the last decade of monetary easing. The analysis extends to all “sensitive” countries in the Eurozone, the so-called “PIIGS” countries 3 (excluded Greece) for the interval 2007-2017.

Anelli, M., Patane', M. (2022). The role of CDS market in the price discovery process of the “PIIGS” countries sovereign credit risk during the recent decade of monetary easing. JOURNAL OF FINANCE AND INVESTMENT ANALYSIS, 11(1), 1-29 [10.47260/jfia/1111].

The role of CDS market in the price discovery process of the “PIIGS” countries sovereign credit risk during the recent decade of monetary easing

Michele Anelli;Michele Patanè
2022-01-01

Abstract

The aim of this paper is to analyze the long-lasting dynamic relationship between the credit default swap (CDS) premia and the government bond spreads (GBS), with regard to the sovereign credit risk. The practical focus is to evaluate whether the CDS market effectively is the leading or the lagging market in the credit risk price discovery process during the last decade of monetary easing. The analysis extends to all “sensitive” countries in the Eurozone, the so-called “PIIGS” countries 3 (excluded Greece) for the interval 2007-2017.
2022
Anelli, M., Patane', M. (2022). The role of CDS market in the price discovery process of the “PIIGS” countries sovereign credit risk during the recent decade of monetary easing. JOURNAL OF FINANCE AND INVESTMENT ANALYSIS, 11(1), 1-29 [10.47260/jfia/1111].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11365/1173075