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...
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| Altri autori: | , |
| Natura: | Periodico |
| Lingua: | English |
| Pubblicazione: |
Washington, D.C. :
International Monetary Fund,
2012.
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| Serie: | IMF Working Papers; Working Paper ;
No. 2012/024 |
| Accesso online: | Full text available on IMF |