Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
The fast or the furious credit spread: Sovereign CDS-bond basis equilibrium relationship and cross-border spillover
University West, Department of Economics and IT, Divison of Law, Economics, Statistics and Politics.
University West, Department of Economics and IT, Divison of Law, Economics, Statistics and Politics.
2017 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The study's contribution is divided in two sections, the first section analyzes the price discovery mechanism, i.e. which market is correcting the basis towards the long run equilibrium. Results shows that CDS market is the most contributing market in the price discovery, i.e. CDS market is reflecting risk first/better than Bond Yields market for the 4 Eurozone countries. Italy and Belgium shows a two-way relationship, with both markets contributing to price discovery, but results show that CDS is contributing more. France and Spain in the other hand shows that CDS market stands for price discovery alone, while cash market adjust accordingly. This is in line with previous authors with similar studies.

The second section which analyze the existence of cross-border spillover from one country basis onto another, i.e. if past change in one country basis is granger causing current change. Since a change in the basis is a change in the CDS-bond basis, which implies a change in the risk structure. The results revealed significant cross-border spillover. But the level of influence varies amongst the countries, but one interesting finding is that Spain and Italy revealed that their own past changes was limited, i.e. the second lag of their own basis failed to explain their current basis. Which suggest that there are non-model factors participating, which is out of the scope of this study, but a valid discussion can be made.

Place, publisher, year, edition, pages
2017. , 60 p.
Keyword [en]
CDS-Bond basis, price discovery, cross-border spillover
National Category
Economics
Identifiers
URN: urn:nbn:se:hv:diva-11376Local ID: NAX500OAI: oai:DiVA.org:hv-11376DiVA: diva2:1135805
Subject / course
Nationalekonomi
Educational program
International Programme in Politics and Economics
Supervisors
Examiners
Available from: 2017-08-25 Created: 2017-08-24 Last updated: 2017-08-25Bibliographically approved

Open Access in DiVA

No full text

By organisation
Divison of Law, Economics, Statistics and Politics
Economics

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
Total: 5 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf