Pricing of Sovereign Credit Risk : Evidence From Advanced Economies During the Financial Crisis /

Pricing of Sovereign Credit Risk : Evidence From Advanced Economies During the Financial Crisis /

We 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 arbit...

書誌詳細
第一著者:	Alper, Emre
その他の著者:	Forni, Lorenzo, Gerard, Marc
フォーマット:	雑誌
言語:	English
出版事項:	Washington, D.C. : International Monetary Fund, 2012.
シリーズ:	IMF Working Papers; Working Paper ; No. 2012/024
オンライン･アクセス:	Full text available on IMF

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