The dynamics of sovereign credit default swap and bond markets: empirical evidence from the 2001 to 2007 period

Rahmi Erdem Aktug, Geraldo Vasconcellos and Youngsoo Bae

Applied Economics Letters, 2012, vol. 19, issue 3, 251-259

Abstract: This article evaluates the dynamic relationship between sovereign Credit Default Swap (CDS) and bond markets over the period 2001 to 2007 across 30 emerging markets. Our results suggest that the bond markets play a significant role in the price discovery process, which is in contrast with the corporate studies. We also show that the CDS markets play a more dominant role in lead--lag relationships compared to earlier studies on the sovereign credit markets.

Date: 2012
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DOI: 10.1080/13504851.2011.572839

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