An empirical analysis of dynamic dependences in the European corporate credit markets: bonds versus credit derivatives
Sergio Mayordomo () and
Juan Ignacio Pe�a
Applied Financial Economics, 2014, vol. 24, issue 9, 605-619
This article provides new evidence on the dynamic dependences of European corporate credit spread in three markets: bond, Credit Default Swap (CDS) and Asset Swap (ASP). Using daily data from 2005 to 2011, we find that credit spread returns are primarily driven by innovations. The intra-market dependence decreases for bond and ASP innovations during the 2007--2009 subprime crisis but increases for CDS due to the increase of counterparty risk. After the summer of 2009, we find a convergence to the precrisis levels. ASP and bond innovations are closely related suggesting that the cash component (bond) dominates the ASP innovations' behaviour. On the other hand, CDS's innovations are unrelated to the bonds' and ASP's innovations.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:24:y:2014:i:9:p:605-619
Ordering information: This journal article can be ordered from
Access Statistics for this article
Applied Financial Economics is currently edited by Anita Phillips
More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().