Intraday Dynamics of Euro Area Sovereign CDS and Bonds
87 Pages Posted: 27 Feb 2014
Date Written: September 2013
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: Suggested Citation