LEADER 06334oam 22014294 450 001 9910789904603321 005 20230801223135.0 010 $a1-4639-6592-3 010 $a1-4639-3377-0 010 $a1-4639-3836-5 035 $a(CKB)2670000000184991 035 $a(EBL)1606531 035 $a(SSID)ssj0000938803 035 $a(PQKBManifestationID)11485602 035 $a(PQKBTitleCode)TC0000938803 035 $a(PQKBWorkID)10922408 035 $a(PQKB)11170138 035 $a(MiAaPQ)EBC1606531 035 $a(Au-PeEL)EBL1606531 035 $a(CaPaEBR)ebr10553702 035 $a(OCoLC)870244871 035 $a(IMF)WPIEE2012024 035 $a(IMF)WPIEA2012024 035 $a(EXLCZ)992670000000184991 100 $a20020129d2012 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aPricing of Sovereign Credit Risk : $eEvidence From Advanced Economies During the Financial Crisis /$fEmre Alper, Lorenzo Forni, Marc Gerard 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2012. 215 $a1 online resource (29 p.) 225 1 $aIMF Working Papers 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 3 $aWe investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS) markets, with price discovery taking place in the latter. Likewise, panel regressions aimed at uncovering the fundamental drivers of the two indicators show that the CDS market, although less liquid, has provided a better signal for sovereign credit risk during the period of the recent financial crisis. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2012/024 606 $aDebts, External$zDeveloped countries 606 $aCountry risk$zDeveloped countries 606 $aGlobal Financial Crisis, 2008-2009 606 $aBanks and Banking$2imf 606 $aFinance: General$2imf 606 $aFinancial Risk Management$2imf 606 $aInvestments: Bonds$2imf 606 $aMoney and Monetary Policy$2imf 606 $aFiscal Policy$2imf 606 $aInterest Rates: Determination, Term Structure, and Effects$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aFinancial Crises$2imf 606 $aFinancing Policy$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aCapital and Ownership Structure$2imf 606 $aValue of Firms$2imf 606 $aGoodwill$2imf 606 $aMonetary economics$2imf 606 $aEconomic & financial crises & disasters$2imf 606 $aInvestment & securities$2imf 606 $aFinance$2imf 606 $aFinancial services law & regulation$2imf 606 $aCredit default swap$2imf 606 $aFinancial crises$2imf 606 $aSovereign bonds$2imf 606 $aDerivative markets$2imf 606 $aCredit risk$2imf 606 $aMoney$2imf 606 $aFinancial markets$2imf 606 $aFinancial institutions$2imf 606 $aFinancial regulation and supervision$2imf 606 $aCredit$2imf 606 $aBonds$2imf 606 $aDerivative securities$2imf 606 $aFinancial risk management$2imf 607 $aUnited States$2imf 615 0$aDebts, External 615 0$aCountry risk 615 0$aGlobal Financial Crisis, 2008-2009. 615 7$aBanks and Banking 615 7$aFinance: General 615 7$aFinancial Risk Management 615 7$aInvestments: Bonds 615 7$aMoney and Monetary Policy 615 7$aFiscal Policy 615 7$aInterest Rates: Determination, Term Structure, and Effects 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aFinancial Crises 615 7$aFinancing Policy 615 7$aFinancial Risk and Risk Management 615 7$aCapital and Ownership Structure 615 7$aValue of Firms 615 7$aGoodwill 615 7$aMonetary economics 615 7$aEconomic & financial crises & disasters 615 7$aInvestment & securities 615 7$aFinance 615 7$aFinancial services law & regulation 615 7$aCredit default swap 615 7$aFinancial crises 615 7$aSovereign bonds 615 7$aDerivative markets 615 7$aCredit risk 615 7$aMoney 615 7$aFinancial markets 615 7$aFinancial institutions 615 7$aFinancial regulation and supervision 615 7$aCredit 615 7$aBonds 615 7$aDerivative securities 615 7$aFinancial risk management 700 $aAlper$b Emre$01435289 701 $aForni$b Lorenzo$0767791 701 $aGerard$b Marc$01497252 801 0$bDcWaIMF 906 $aBOOK 912 $a9910789904603321 996 $aPricing of Sovereign Credit Risk$93722300 997 $aUNINA