主权CDS和债券市场在新兴市场主权信用风险有效定价中的相对作用

IF 1.2 Q3 BUSINESS, FINANCE Journal of Emerging Market Finance Pub Date : 2020-07-17 DOI:10.1177/0972652720932772

Z. Raja, William J. Procasky, Renee Oyotode-Adebile

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引用次数: 1

摘要

现有文献报告了信用违约掉期(CDS)和债券市场在新兴市场主权信用风险定价方面的相对效率，结果好坏参半。使用比之前分析的更全面的数据集，我们重新审视了这个问题，发现CDS在这种风险的价格发现中占主导地位，我们将这一优势归因于该市场的相对流动性更大。一个例外是在金融危机期间，这表明当恐慌袭来时，主权市场对信贷风险的定价会有所不同。然而，即便如此，CDS市场对价格发现的影响也比债券市场更大，这表明整体效率更高。JEL分类:G11、G12、G13、G14、G23

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Relative Role of Sovereign CDS and Bond Markets in Efficiently Pricing Emerging Market Sovereign Credit Risk

Extant literature reports mixed findings on the relative efficiency of credit default swaps (CDS) and bond markets in pricing emerging market sovereign credit risk. Using a more comprehensive data set than analyzed earlier, we reexamine this issue and find that CDS dominate bonds in the price discovery of this risk, an advantage we attribute to the greater relative liquidity of that market. One exception is during the financial crisis, suggesting that when panic hits, sovereign markets price credit risk differently. However, even then, the CDS market has a greater impact on price discovery than the bond market, indicating greater overall efficiency. JEL Classification: G11, G12, G13, G14, G23

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.