Savior or Sinner? Credit Default Swaps and the Market for Sovereign Debt

2012 ◽  
Author(s):  
Iuliana Ismailescu ◽  
Blake Phillips
Keyword(s):  
Sovereign Debt ◽  
Credit Default Swaps ◽  
Credit Default

scholarly journals Credit Default Swaps and Sovereign Debt Markets

2011 ◽  
Author(s):  
M. Kabir Hassan ◽  
Geoffrey M. Ngene ◽  
Jung-Suk Yu
Keyword(s):  
Sovereign Debt ◽  
Credit Default Swaps ◽  
Credit Default ◽  
Debt Markets

scholarly journals Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises

2003 ◽  
Vol 03 (106) ◽  
pp. 1 ◽  
Author(s):  
Jorge A. Chan-Lau ◽  
Keyword(s):  
Sovereign Debt ◽  
Credit Default Swaps ◽  
Credit Default ◽  
Debt Crises

scholarly journals ANALYSIS OF LITHUANIAN CREDIT DEFAULT SWAPS

2015 ◽  
Vol 16 (5) ◽  
pp. 916-930 ◽  
Author(s):  
Arvydas Kregzde ◽  
Gediminas Murauskas
Keyword(s):  
Risk Premium ◽  
Sovereign Debt ◽  
Price Discovery ◽  
Credit Default Swaps ◽  
Bond Market ◽  
East Europe ◽  
Leading Role ◽  
Credit Default ◽  
Yield Risk ◽  
The Government

This paper studies international sovereign Credit Default Swaps (CDS) market focusing attention to the CDS of Central and East Europe. The main purpose of the study was to perform detail analysis of Lithuanian CDS in the global capital market. We compared the CDS markets of other countries and found some commonalities between them. We study the credit curve produced by CDS and volatility of CDS. A great attention is paid to investigate the relationship of CDS and the government bond market. Analysis of finding a leading role of CDS and the bond markets in the price discovering process is made. A leading market for different periods is found by using the Vector Error Correction model. Our main finding is that during the volatile period price discovery takes place in the bond market and in the calm period price discovery is observed in the CDS market. Disclosed relationship between CDS spreads and Eurobonds yield risk premium gives an additional decision making tool for sovereign debt managers.

The DOs and DON’Ts of credit default swaps (CDS) in the context of the EU sovereign debt crisis

2013 ◽  
Vol 15 (1) ◽  
pp. 87-104
Author(s):  
Rodrigo Olivares-Caminal ◽  
Kiriakos E Papadakis ◽  
Olga Galazoula ◽  
Ioannis Kokkoris
Keyword(s):  
Sovereign Debt ◽  
Debt Crisis ◽  
Credit Default Swaps ◽  
Sovereign Debt Crisis ◽  
Credit Default ◽  
The Eu

THE “DARK SIDE” OF CREDIT DEFAULT SWAPS INITIATION: A CLOSE LOOK AT SOVEREIGN DEBT CRISES

2018 ◽  
pp. 1-30
Author(s):  
Hippolyte Wenéyam Balima ◽  
Jean-Louis Combes ◽  
Alexandru Minea
Keyword(s):  
Developing Countries ◽  
Sovereign Debt ◽  
Credit Default Swaps ◽  
The Other ◽  
Dark Side ◽  
Policy Perspective ◽  
Design And Implementation ◽  
Percentage Points ◽  
Credit Default ◽  
Debt Crises

We examine the effect of sovereign credit default swaps (CDS) trading initiation on the occurrence of sovereign debt crises (SDC). Estimations on a large sample of 141 countries for 1980–2013 reveal that, by affecting the fiscal stance, CDS initiation increases by around 1.5 percentage points on average the probability of SDC in countries with CDS compared to the other countries. This result holds for different robustness tests and is found to be stronger for developing countries, for countries with initial lower creditworthiness, and when the degrees of central bank independence and public sector transparency are low. Consequently, compared to existing work emphasizing favorable effects, CDS trading initiation is found to have adverse effects, by increasing the occurrence of SDC. These opposite effects should fuel the literature on measuring the consequences of CDS trading initiation, and its design and implementation from a policy perspective.

scholarly journals Credit default swaps and sovereign debt markets

2015 ◽  
Vol 39 (2) ◽  
pp. 240-252 ◽  
Author(s):  
M. Kabir Hassan ◽  
Geoffrey M. Ngene ◽  
Jung-Suk Yu
Keyword(s):  
Sovereign Debt ◽  
Credit Default Swaps ◽  
Credit Default ◽  
Debt Markets
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