Abstract
We analyze time-variation of the price discovery process in sovereign debt markets. We test whether the cointegrating relationship that should tie bond and CDS spreads together holds. In addition, we investigate which (if any) of the two markets leads price discovery in a number of sub-samples. We focus on ten Eurozone countries, the UK, and the US. While for all the peripheral countries but Greece CDS and bond spreads show a long-run equilibrium relationship, this is not the case for core European countries, the UK, and the US. When cointegration fails to hold, none of the markets leads price discovery.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
