Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets:
This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various pressures that arise in the market. In most countries, however...
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2004
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Schriftenreihe: | IMF Working Papers
Working Paper No. 04/27 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various pressures that arise in the market. In most countries, however, we do not find any equilibrium price relationship between the bond and CDS markets and the equity markets. As for price discovery, our results are mixed. This stands in contrast to the empirical findings on corporate issuers in the United States and Europe |
Beschreibung: | 1 Online-Ressource (31 p) |
ISBN: | 1451844557 9781451844559 |
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spelling | Chan-Lau, Jorge A. Verfasser aut Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets Chan-Lau, Jorge A Washington, D.C International Monetary Fund 2004 1 Online-Ressource (31 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 04/27 This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various pressures that arise in the market. In most countries, however, we do not find any equilibrium price relationship between the bond and CDS markets and the equity markets. As for price discovery, our results are mixed. This stands in contrast to the empirical findings on corporate issuers in the United States and Europe Online-Ausg Kim, Yoon Sook Sonstige oth http://elibrary.imf.org/view/IMF001/02068-9781451844559/02068-9781451844559/02068-9781451844559.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Chan-Lau, Jorge A. Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets |
title | Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets |
title_auth | Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets |
title_exact_search | Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets |
title_exact_search_txtP | Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets |
title_full | Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets Chan-Lau, Jorge A |
title_fullStr | Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets Chan-Lau, Jorge A |
title_full_unstemmed | Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets Chan-Lau, Jorge A |
title_short | Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets |
title_sort | equity prices credit default swaps and bond spreads in emerging markets |
url | http://elibrary.imf.org/view/IMF001/02068-9781451844559/02068-9781451844559/02068-9781451844559.xml |
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