Intraday Dynamics of Euro Area Sovereign CDS and Bonds

87 Pages Posted: 27 Feb 2014

See all articles by Jacob Gyntelberg

Jacob Gyntelberg

Nordea Group; University of Copenhagen - Department of Economics

Peter Hördahl

Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific

Kristyna Ters

University of Basel

Jörg Urban

Bank for International Settlements (BIS)

Date Written: September 2013

Abstract

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.

Keywords: Sovereign credit risk, credit default swaps, price discovery, intraday

JEL Classification: G12, G14, G15

Suggested Citation

Gyntelberg, Jacob and Hoerdahl, Peter and Ters, Kristyna and Urban, Jörg, Intraday Dynamics of Euro Area Sovereign CDS and Bonds (September 2013). BIS Working Paper No. 423. Available at SSRN: https://ssrn.com/abstract=2390166

Jacob Gyntelberg (Contact Author)

Nordea Group ( email )

Grønjordsvej 10
Copenhagen, DK - 2300
Denmark

University of Copenhagen - Department of Economics ( email )

Øster Farimagsgade 5, Bygn 26
Copenhagen, 1353
Denmark

Peter Hoerdahl

Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific ( email )

78th floor, Two International Finance Centre
8 Finance Street, Central
Hong Kong

Kristyna Ters

University of Basel ( email )

No Address Available

Jörg Urban

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

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