EconPapers    
Economics at your fingertips  
 

CDS-Bono Farki ve Duzeltme Hareketi

Kurmaş Akdoğan and Meltem Chadwick

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [TR] Ulke kredi riskinin alternatif gostergeleri olan kredi temerrut takasi (CDS) orani ve EMBI+ulke farki degerlerinin teoride arbitraj imkanina yer vermeyecek sekilde esit olmasi beklense de; iki veri donemsel olarak oldukca farkli hareketler gosterebilmektedir. Bu not, soz konusu farkin aciklayicisi olabilecek yapisal etmenleri ve piyasa etmenlerini tanitmakta; CDS ve bono piyasasinin secilmis ulkeler bazinda ve kriz donemlerinde ayrismasinin dinamiklerini incelemektedir. [EN] Theoretically, Credit Default Swap (CDS) spreads and EMBI+Country Sovereign Spreads should be equal to avoid arbitrage opportunity. However, data reveals significant differences between these two spreads. This note discusses structural and market factors behind this discrepancy and analyzes the divergence of CDS and bond markets especially during periods of financial market stress.

Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.tcmb.gov.tr/wps/wcm/connect/167c3986-ac ... f814fbd0fdc3-m3fw4-F (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:tcb:econot:1201

Access Statistics for this paper

More papers in CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-12-05
Handle: RePEc:tcb:econot:1201