The Relationship Between Bond Yields, CDS Spreads, and Credit Ratings of Eurozone Countries After the European Debt Crisis

Mustafa Çavdar
Additional contact information
Mustafa Çavdar: İstanbul Commerce University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2015, vol. 30, issue 104, 145-165

Abstract: After the 2008-2009 global financial crisis, it has been argued that the relationship between sovereign credit ratings and sovereign bond yields is not consistent. It has been also claimedthat credit default swap contracts are better indicators than the credit ratings for measuring the credit risk of the underlying sovereign and cds contracts can be a good substitute of credit ratings. In and cds contracts can be a good substitute of credit ratings. In this study, the relationship between the 5-year eur denominated bond yields and 5-year cds premiums of austria, belgium, france, portugal, italy and spain was analyzed for the period between 2009 and 2015 by using daily data. In the second part, the relation between the credit ratings and the eurobond yields of these countries was examined.this study, the relationship between the 5-year eur denominated bond yields and 5-year cds premiums of austria, belgium, france, portugal, italy and spain was analyzed for the period between 2009 and 2015 by using daily data. In the second part, the relation between the credit ratings and the eurobond yields of these countries was examined.

Keywords: Eurozone Debt Crisis; CDS; Credit Rating; Sovereign Eurobond Yields (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
https://dergipark.org.tr/tr/download/article-file/412418 (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:acc:malfin:v:30:y:2015:i:104:p:145-165

Access Statistics for this article

Journal of Finance Letters (Maliye ve Finans Yazıları) is currently edited by Süleyman Kale

More articles in Journal of Finance Letters (Maliye ve Finans Yazıları) from Maliye ve Finans Yazıları Yayıncılık Ltd. Şti.
Bibliographic data for series maintained by Süleyman Kale ().