Journal article 794 views 290 downloads
Sovereign and bank CDS spreads: Two sides of the same coin?
Davide Avino 
,
John Cotter
,
John Cotter
Journal of International Financial Markets, Institutions and Money, Volume: 32, Pages: 72 - 85
Swansea University Author:
Davide Avino
-
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DOI (Published version): 10.1016/j.intfin.2014.05.007
Abstract
We perform an in-depth investigation of the price discovery between sovereign and bank CDS spreads and find that both variables have an important role in the period preceding the financial crisis of 2007-2009. However, during the global financial crisis and the subsequent European sovereign debt cri...
| Published in: | Journal of International Financial Markets, Institutions and Money |
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| Published: |
2014
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa21589 |
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| Abstract: |
We perform an in-depth investigation of the price discovery between sovereign and bank CDS spreads and find that both variables have an important role in the period preceding the financial crisis of 2007-2009. However, during the global financial crisis and the subsequent European sovereign debt crisis, sovereign CDS spreads dominate the price discovery process. Our findings suggest that, especially during crisis periods, sovereign CDS spreads incorporate more timely information on the default probability of European banks than their corresponding bank CDS spreads. |
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| College: |
Faculty of Humanities and Social Sciences |
| Start Page: |
72 |
| End Page: |
85 |