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Journal article 794 views 290 downloads

Sovereign and bank CDS spreads: Two sides of the same coin?

Davide Avino Orcid Logo, John Cotter

Journal of International Financial Markets, Institutions and Money, Volume: 32, Pages: 72 - 85

Swansea University Author: Davide Avino Orcid Logo

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...

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Published in: Journal of International Financial Markets, Institutions and Money
Published: 2014
URI: https://cronfa.swan.ac.uk/Record/cronfa21589
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first_indexed 2015-05-20T02:03:31Z
last_indexed 2020-07-15T12:35:58Z
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spelling 2020-07-15T11:34:12.8699661 v2 21589 2015-05-19 Sovereign and bank CDS spreads: Two sides of the same coin? 3d6ddd8aed8a2b08573445a9d2ec2469 0000-0002-5314-2067 Davide Avino Davide Avino true false 2015-05-19 BAF 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. Journal Article Journal of International Financial Markets, Institutions and Money 32 72 85 4 6 2014 2014-06-04 10.1016/j.intfin.2014.05.007 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2020-07-15T11:34:12.8699661 2015-05-19T20:50:27.8654988 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Davide Avino 0000-0002-5314-2067 1 John Cotter 2 0021589-18122015100942.pdf AvinoSovereignandBankCDSSpreadsPostprint.pdf 2015-12-18T10:09:42.4970000 Output 925037 application/pdf Accepted Manuscript true 2015-12-18T00:00:00.0000000 false
title Sovereign and bank CDS spreads: Two sides of the same coin?
spellingShingle Sovereign and bank CDS spreads: Two sides of the same coin?
Davide Avino
title_short Sovereign and bank CDS spreads: Two sides of the same coin?
title_full Sovereign and bank CDS spreads: Two sides of the same coin?
title_fullStr Sovereign and bank CDS spreads: Two sides of the same coin?
title_full_unstemmed Sovereign and bank CDS spreads: Two sides of the same coin?
title_sort Sovereign and bank CDS spreads: Two sides of the same coin?
author_id_str_mv 3d6ddd8aed8a2b08573445a9d2ec2469
author_id_fullname_str_mv 3d6ddd8aed8a2b08573445a9d2ec2469_***_Davide Avino
author Davide Avino
author2 Davide Avino
John Cotter
format Journal article
container_title Journal of International Financial Markets, Institutions and Money
container_volume 32
container_start_page 72
publishDate 2014
institution Swansea University
doi_str_mv 10.1016/j.intfin.2014.05.007
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
active_str 0
description 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.
published_date 2014-06-04T03:25:38Z
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score 11.036334

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