The dynamic relationship between the bond and CDS markets of emerging countries: copula-GARCH
Imen Daoued and
Mohamed Imen Gallali
International Journal of Bonds and Derivatives, 2025, vol. 4, issue 4, 281-307
Abstract:
This paper examines the interaction between sovereign bond credit spreads (BS) and credit default swap (CDS) premiums. We use ARDL models to test whether there is a long-run equilibrium relationship between the variables, using daily data for the period October 2008 to November 2016 for 22 emerging market countries. To analyse the validity of the results of the Granger causality test, a test of the static copula model was applied to measure the interdependence of the variables. The empirical literature on copula and their use in financial dependence is extensive (see Joe et al., 2012), and they provide a new, alternative measurement technique.
Keywords: ARDL-ECM; lead-lag; statics copula; sovereign bond credit SPREADS; CDS premiums; price discovery; emerging markets; flight to quality; basis CDS-BCS; positive basis; negative basis. (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:
Downloads: (external link)
http://www.inderscience.com/link.php?id=148675 (text/html)
Access to full text is restricted to subscribers.
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:ids:ijbder:v:4:y:2025:i:4:p:281-307
Access Statistics for this article
More articles in International Journal of Bonds and Derivatives from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().