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200 10$aPricing of sovereign credit risk$b[electronic resource] $eevidence from advanced economies during the financial crisis /$fC. Emre Alper, Lorenzo Forni and Marc Gerard
210   $aWashington, D.C. $cInternational Monetary Fund$d2012
215   $a1 online resource (29 p.)
225 1 $aIMF working paper
300   $aDescription based upon print version of record.
311   $a1-4639-3186-7 
320   $aIncludes bibliographical references.
327   $aCover; 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)
327   $a2. 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; References
330   $aWe investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS) markets, with price discovery taking place in the latter. Likewise, panel regressions aimed at uncovering the fundamental drivers of the two indicators show that the CDS market, although less liquid, has provided a better signal for
410  0$aIMF working paper.
606   $aDebts, External$zDeveloped countries
606   $aCountry risk$zDeveloped countries
606   $aGlobal Financial Crisis, 2008-2009
608   $aElectronic books.
615  0$aDebts, External
615  0$aCountry risk
615  0$aGlobal Financial Crisis, 2008-2009.
700   $aAlper$b C. Emre$0943512
701   $aForni$b Lorenzo$0767791
701   $aGerard$b Marc$0943513
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910462056003321
996   $aPricing of sovereign credit risk$92129427
997   $aUNINA