The Role of CDS Market in the Price Discovery Process of the “PIIGS†Countries Sovereign Credit Risk During the Recent Decade of Monetary Easing

Michele Anelli and Michele Patanè

Journal of Finance and Investment Analysis, 2022, vol. 11, issue 1, 1

Abstract: The aim of this paper is to analyze the long-lasting dynamic relationship between the credit default swap (CDS) premia and the government bond spreads (GBS), with regard to the sovereign credit risk. The practical focus is to evaluate whether the CDS market effectively is the leading or the lagging market in the credit risk price discovery process during the last decade of monetary easing. The analysis extends to all “sensitive†countries in the Eurozone, the so-called “PIIGS†countries (excluded Greece) for the interval 2007-2017. JEL classification numbers: G01, G12, G14, G20.

Keywords: CDS spread; Government bond spread; Sovereign credit risk; Cointegration; Vector error correction model; Granger-causality. (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.scienpress.com/Upload/JFIA%2fVol%2011_1_1.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spt:fininv:v:11:y:2022:i:1:f:11_1_1

Access Statistics for this article

More articles in Journal of Finance and Investment Analysis from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().