03400nam 2200637 a 450 991046205600332120200520144314.01-4639-6592-31-4639-3377-01-4639-3836-5(CKB)2670000000184991(EBL)1606531(SSID)ssj0000938803(PQKBManifestationID)11485602(PQKBTitleCode)TC0000938803(PQKBWorkID)10922408(PQKB)11170138(MiAaPQ)EBC1606531(Au-PeEL)EBL1606531(CaPaEBR)ebr10553702(OCoLC)870244871(EXLCZ)99267000000018499120120503d2012 uy 0engurcn|||||||||txtccrPricing of sovereign credit risk[electronic resource] evidence from advanced economies during the financial crisis /C. Emre Alper, Lorenzo Forni and Marc GerardWashington, D.C. International Monetary Fund20121 online resource (29 p.)IMF working paperDescription based upon print version of record.1-4639-3186-7 Includes bibliographical references.Cover; Contents; I. Introduction; II. Dynamic Relationships between CDS and RAS Spreads; III. Determinants of CDS and RAS Spreads; IV. Concluding Remarks; Data Appendix; Figures; 1. CDS Gross Notional Outstanding Amounts as a Share of Total Public Debt: Selected Countries over the Period 2008-11; 2. CDS and RAS Spread Developments; 3. Expected one year ahead Primary Deficit and CDS/RAS Spreads - Large Advanced Economies; 4. Expected one year ahead Primary Deficit and CDS/RAS Spreads - Selected; Tables; 1. Panel and Individual Unit Root Test Results on the Basis (CDS-RAS)2. Individual Cointegration Test and Error-correction Model Estimation Results for CDS and RAS Spreads3. CDS Spreads Regressions; 4. RAS Spreads Regressions; 5. CDS Spreads Regressions - Country Breakdown; 6. RAS Spreads Regressions--Country Breakdown; ReferencesWe investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS) markets, with price discovery taking place in the latter. Likewise, panel regressions aimed at uncovering the fundamental drivers of the two indicators show that the CDS market, although less liquid, has provided a better signal forIMF working paper.Debts, ExternalDeveloped countriesCountry riskDeveloped countriesGlobal Financial Crisis, 2008-2009Electronic books.Debts, ExternalCountry riskGlobal Financial Crisis, 2008-2009.Alper C. Emre943512Forni Lorenzo767791Gerard Marc943513MiAaPQMiAaPQMiAaPQBOOK9910462056003321Pricing of sovereign credit risk2129427UNINA