出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This article presents an analysis of the possible relationship existing between the spreads of sovereign bonds and the premia of credit default swaps(CDS),in order to determine if they are useful tools for measuring the sovereign risk either separately or taking into account the joint evolution of their values.Data on several countries representative of various regions of the world,developed and emerging economies,have been used.The empirical methodology used in the paper is related to the stationarity of the series,the degree of cointegration and tests of causality.In general,a relationship of cointegration between the two measures is found for some of the countries analyzed.When we study the causality,according to Granger,for these variables,the CDS premium is found to be the cause of the risk spreads in the majority of cases.In the light of the data and their corresponding interpretation,we can conclude that dealings in the CDS market contain clear and fairly useful information on the sovereign risk of a country,and that CDS dealings have become a leading rather than a lagging market with respect to the determination of the prices of public debt bonds.
