Global Risk Spillover and the Predictability of Sovereign Credit Default Swap Spread: International Evidence

2013 ◽  
Author(s):  
Sasha Srivastava ◽  
Hai Lin ◽  
I.M. Premachandra ◽  
Helen Roberts
Keyword(s):  
Credit Default Swap ◽  
Global Risk ◽  
Sovereign Credit ◽  
International Evidence ◽  
Credit Default ◽  
Default Swap ◽  
Credit Default Swap Spread

scholarly journals Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-13
Author(s):  
Min Lu ◽  
Michele Passariello ◽  
Xing Wang
Keyword(s):  
Empirical Investigation ◽  
Credit Default Swap ◽  
Sample Period ◽  
Market Uncertainty ◽  
Macroeconomic News ◽  
Sovereign Credit ◽  
News Announcements ◽  
Credit Default ◽  
Default Swap

We assess the efficiency of the sovereign credit default swap (CDS) market by investigating how sovereign CDS spreads react to macroeconomic news announcements. Contrary to the vast majority of the existing literature, one of our main findings supports the hypothesis that news announcements reduce market uncertainty and, thus, that both better- and worse-than-expected news lower CDS prices during our sample period. In addition, we find that CDS spreads respond differently to the four macroindicators across the three different regions. Our findings might help investors in these areas to interpret the surprises of macronews announcements when making decisions in CDS markets.

Credit default swap spread and succession events

2007 ◽  
Vol 15 (4) ◽  
pp. 450-463
Author(s):  
Halit Gonenc ◽  
Floris Schorer ◽  
Willem P.F. Appel
Keyword(s):  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
Credit Default Swap Spread ◽  
Succession Events

scholarly journals THE INTERACTIONS AND TRADE-OFFS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) AND BOND SPREADS IN A DYNAMIC CONTEXT

2019 ◽  
Vol 20 (3) ◽  
pp. 466-488
Author(s):  
Ioannis A. Tampakoudis ◽  
Andrius Tamošiūnas ◽  
Demetres N. Subeniotis ◽  
Ioannis G. Kroustalis
Keyword(s):  
Credit Risk ◽  
Price Discovery ◽  
Credit Default Swap ◽  
Bond Market ◽  
Discovery Process ◽  
Sovereign Credit ◽  
Credit Default ◽  
Default Swap ◽  
Bond Spreads ◽  
Price Discovery Process

This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and bond spreads of the highly indebted southern European countries, considering an extensive time sample from the period before the global financial crisis to the latest developments of the sovereign indebtedness in the euro area. We employ an integrated price discovery methodology on a rolling sample, with the intention to shed light on whether the CDS spreads can trigger rises in bond spreads, and the relative efficiency of credit risk pricing in the CDS and bond markets. In addition, we attempt to depict the evolution of the price discovery process regarding the direction of influence from one market to the other. The rolling window analysis verifies that the price discovery process evolves over time, presenting frequent alternations concerning the leading market. We find that during periods of economic turbulence the CDS market leads the bond market in price discovery, incorporating the new information about sovereign credit risk faster and more efficiently than the bond market does. This regularity should be seriously considered by private and public participants as they make investment and funding decisions. Therefore, the motivation of our paper is to identify the dominant market in terms of price discovery during a period of economic turmoil and, thus, to provide insights for decision making to investment bodies and central governments.

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