Time‐Varying Price Discovery in Sovereign Credit Markets

2019 ◽  
Author(s):  
Massimo Guidolin ◽  
Manuela Pedio ◽  
Alessandra Tosi
Keyword(s):  
Price Discovery ◽  
Credit Markets ◽  
Time Varying ◽  
Sovereign Credit

Time-varying price discovery in sovereign credit markets

2019 ◽  
pp. 101388
Author(s):  
Massimo Guidolin ◽  
Manuela Pedio ◽  
Alessandra Tosi
Keyword(s):  
Price Discovery ◽  
Credit Markets ◽  
Time Varying ◽  
Sovereign Credit

Price discovery in euro area sovereign credit markets and the ban on naked CDS

2018 ◽  
Vol 96 ◽  
pp. 106-125 ◽  
Author(s):  
Jacob Gyntelberg ◽  
Peter Hördahl ◽  
Kristyna Ters ◽  
Jörg Urban
Keyword(s):  
Euro Area ◽  
Price Discovery ◽  
Credit Markets ◽  
Sovereign Credit

scholarly journals International risk spillover in sovereign credit markets: an empirical analysis

2019 ◽  
Vol 45 (8) ◽  
pp. 1020-1040 ◽  
Author(s):  
Saker Sabkha ◽  
Christian de Peretti ◽  
Dorra Mezzez Hmaied
Keyword(s):  
Credit Risk ◽  
Financial Stability ◽  
Credit Markets ◽  
Spillover Effects ◽  
Time Varying ◽  
Data Set ◽  
Policy Makers ◽  
Content Type ◽  
Sovereign Credit ◽  
Regulatory Policies

Purpose The purpose of this paper is to study the volatility spillover among 33 worldwide sovereign Credit Default Swap (CDS) markets and their underlying bond markets. Design/methodology/approach In contrast to prior studies, the authors incorporate heteroscedasticity, asymmetric leverage effects and long-memory features of sovereign credit spreads simultaneously through a bivariate FIEGARCH model and a Bayesian cointegrated vector autoregressive model. Findings Similar to the literature, the findings confirm that strong evidence of credit risk spillover between credit markets is accentuated during two recent crisis periods. However, the country-by-country analysis indicates that countries exhibit different sensitivity levels and divergent reactions to financial shocks. Further, the authors show that the bidirectional interrelationship evolves over time and across countries emphasizing the necessity of time-varying national regulatory policies and trading positions. Originality/value Based on a large data set that covers the recent two financial crises and using complex methods, the work focuses on sovereign tensions that have repercussions on banks’ solvency and refinancing conditions. Yet, the study is a hot topic since that during crisis periods in the financial markets, direct and indirect interconnections increase between sovereign risk and banking risk. Using new econometric approaches, the results show that each country exhibits a different behavior toward the credit risk which is relevant to both portfolio managers and policy makers. The time-varying spillover effects detected between markets are an accurate indicator of financial stability, allowing policy makers to put in place personalized economic policies. On the other hand, markets’ participants could take advantages of the results by adjusting their trading and hedging positions on the dynamic co-movements. The findings reveal, as well, that the sovereign crisis has more weakened the global financial and banking system than the subprime crisis. The authors previously tackled the cross-country contagion phenomenon in the CDS markets, and this manuscript builds on the prior study to enhance the obtained results.

Contagion and interdependence in Eurozone bank and sovereign credit markets

2018 ◽  
Vol 23 (4) ◽  
pp. 655-674 ◽  
Author(s):  
Theodoros Bratis ◽  
Nikiforos T. Laopodis ◽  
Georgios P. Kouretas
Keyword(s):  
Credit Markets ◽  
Sovereign Credit

Time varying price discovery of the New Third Board market in China: does the market-making system help?

2019 ◽  
Vol 51 (45) ◽  
pp. 4902-4919
Author(s):  
Gaoxiu Qiao ◽  
Pengfei Zhao ◽  
Weiping Li
Keyword(s):  
Price Discovery ◽  
Time Varying ◽  
Market Making

scholarly journals An Analysis of the Informational Value of Sovereign Credit Ratings

2021 ◽  
Vol 58 (1) ◽  
pp. 85-97
Author(s):  
Kok-Tiong Lim ◽  
Kian-Teng Kwek
Keyword(s):  
Asset Allocation ◽  
Price Discovery ◽  
Global Financial Crisis ◽  
Credit Ratings ◽  
Credit Default Swap ◽  
Bond Yields ◽  
Sovereign Credit ◽  
Sovereign Credit Ratings ◽  
The Global Financial Crisis ◽  
Informational Value

The sovereign credit ratings (SCRs) have been an integral part in the global financial system in asset allocation and price discovery. The zero bound policy rate (ZBPR) and quantitative easing programme (QEP) rolled out by the four key central banks as antidotes to the global financial crisis (GFC) would have altered the assumed premise on SCRs relevancy. This preliminary study is crafted for a validation on whether the SCRs informational value on sovereign bond yields (SBYs) and sovereign credit default swap spreads (SCDSSs) was indeed affected when ZBPR and QEP were in effect. A sample of 32 countries with observations spanning from 2008 to 2017 to encompass the period of ZBPR and QEP in effect was used for analysis. The empirical results show that SCRs informational value was indeed rendered irrelevant on SBYs price discovery since 2008 and the effect on SCDSSs came in later from 2012 onwards.

Sign in / Sign up

Export Citation Format

Share Document