Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?
Author
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Patrick Bolton & Olivier Jeanne, 2011.
"Sovereign Default Risk and Bank Fragility in Financially Integrated Economies,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 59(2), pages 162-194, June.
- Bolton, Patrick & Jeanne, Olivier, 2011. "Sovereign Default Risk and Bank Fragility in Financially Integrated Economies," CEPR Discussion Papers 8358, C.E.P.R. Discussion Papers.
- Patrick Bolton & Olivier Jeanne, 2011. "Sovereign Default Risk and Bank Fragility in Financially Integrated Economies," NBER Working Papers 16899, National Bureau of Economic Research, Inc.
- Duffie, D., 2010. "Is there a case for banning short speculation in sovereign bond markets?," Financial Stability Review, Banque de France, issue 14, pages 55-59, July.
- Lóránt Varga, 2009. "The information content of Hungarian sovereign CDS spreads," MNB Occasional Papers 2009/78, Magyar Nemzeti Bank (Central Bank of Hungary).
- Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B., 2010.
"Banking and sovereign risk in the euro area,"
Discussion Paper Series 1: Economic Studies
2010,09, Deutsche Bundesbank.
- Gerlach, Stefan & Wolff, Guntram B. & Schulz, Alexander, 2010. "Banking and Sovereign Risk in the Euro Area," CEPR Discussion Papers 7833, C.E.P.R. Discussion Papers.
- Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014.
"A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk,"
Journal of Finance, American Finance Association, vol. 69(6), pages 2689-2739, December.
- Viral V. Acharya & Itamar Drechsler & Philipp Schnabl, 2011. "A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk," NBER Working Papers 17136, National Bureau of Economic Research, Inc.
- Acharya, Viral & Schnabl, Philipp & Drechsler, Itamar, 2011. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," CEPR Discussion Papers 8679, C.E.P.R. Discussion Papers.
- Delatte, Anne-Laure & Gex, Mathieu & López-Villavicencio, Antonia, 2012.
"Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?,"
Journal of International Money and Finance, Elsevier, vol. 31(3), pages 481-497.
- Anne-Laure Delatte & Mathieu Gex & Antonia Lòpez-Villavicencio, 2011. "Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?," Post-Print hal-00714071, HAL.
- Anne-Laure Delatte & Mathieu Gex & Antonia Lopez Villavicencio, 2012. "Has the CDS Market Influenced the Borrowing Cost of European Countries During the Sovereign Crisis?," Post-Print hal-01410599, HAL.
- Anne-Laure Delatte & A. López & Mathieu Gex, 2011. "Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis," Post-Print hal-00756115, HAL.
- Anne-Laure Delatte & Mathieu Gex & Antonia Lòpez-Villavicencio, 2011. "Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?," Post-Print hal-00658200, HAL.
- Anne-Laure Delatte & Mathieu Gex & Antonia Lòpez-Villavicencio, 2012. "Has the CDS Market influenced the borrowing cost of European countries during the sovereign crisis?," Post-Print hal-00739732, HAL.
- Fontana, Alessandro & Scheicher, Martin, 2016.
"An analysis of euro area sovereign CDS and their relation with government bonds,"
Journal of Banking & Finance, Elsevier, vol. 62(C), pages 126-140.
- Scheicher, Martin & Fontana, Alessandro, 2010. "An analysis of euro area sovereign CDS and their relation with government bonds," Working Paper Series 1271, European Central Bank.
- Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009.
"The Determinants of Credit Default Swap Premia,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 109-132, February.
- Ericsson, Jan & Jacobs, Kris & Oviedo-Helfenberger, Rodolfo, 2004. "The Determinants of Credit Default Swap Premia," SIFR Research Report Series 32, Institute for Financial Research.
- Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO.
- Patrick Augustin, 2012. "Sovereign Credit Default Swap Premia," Working Papers 12-10, New York University, Leonard N. Stern School of Business, Department of Economics.
- Rishi Goyal & Ms. Petya Koeva Brooks & Mahmood Pradhan & Mr. Thierry Tressel & Mr. Giovanni Dell'Ariccia & Ceyla Pazarbasioglu, 2013. "A Banking Union for the Euro Area," IMF Staff Discussion Notes 2013/001, International Monetary Fund.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Gonzalo, Jesus & Granger, Clive W J, 1995.
"Estimation of Common Long-Memory Components in Cointegrated Systems,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
- Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
- Pennacchi, George & Vermaelen, Theo & Wolff, Christian C. P., 2014.
"Contingent Capital: The Case of COERCs,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 541-574, June.
- Christian Wolff & Theo Vermaelen & George Pennacchi, 2010. "Contingent Capital: The Case for COERCs," LSF Research Working Paper Series 10-08, Luxembourg School of Finance, University of Luxembourg.
- Wolff, Christian & Pennacch, George G., 2010. "Contingent Capital: The Case for COERCs," CEPR Discussion Papers 8028, C.E.P.R. Discussion Papers.
- Forte, Santiago & Peña, Juan Ignacio, 2009. "Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2013-2025, November.
- Annaert, Jan & De Ceuster, Marc & Van Roy, Patrick & Vespro, Cristina, 2013.
"What determines Euro area bank CDS spreads?,"
Journal of International Money and Finance, Elsevier, vol. 32(C), pages 444-461.
- Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2009. "What determines euro area bank CDS spreads ?," Financial Stability Review, National Bank of Belgium, vol. 7(1), pages 153-169, June.
- Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2010. "What determines euro area bank CDS spreads ?," Working Paper Research 190, National Bank of Belgium.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011.
"How Sovereign Is Sovereign Credit Risk?,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007. "How Sovereign is Sovereign Credit Risk?," NBER Working Papers 13658, National Bureau of Economic Research, Inc.
- Haibin Zhu, 2004. "An empirical comparison of credit spreads between the bond market and the credit default swap market," BIS Working Papers 160, Bank for International Settlements.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
- Acharya, Viral V. & Johnson, Timothy C., 2007.
"Insider trading in credit derivatives,"
Journal of Financial Economics, Elsevier, vol. 84(1), pages 110-141, April.
- Acharya, Viral & Johnson, Tim, 2005. "Insider Trading in Credit Derivatives," CEPR Discussion Papers 5180, C.E.P.R. Discussion Papers.
- Portes, Richard & Palladini, Giorgia, 2011.
"Sovereign CDS and Bond Pricing Dynamics in the Euro-area,"
CEPR Discussion Papers
8651, C.E.P.R. Discussion Papers.
- Giorgia Palladini & Richard Portes, 2011. "Sovereign CDS and Bond Pricing Dynamics in the Euro-area," NBER Working Papers 17586, National Bureau of Economic Research, Inc.
- Pierre Collin-Dufresn & Robert S. Goldstein & J. Spencer Martin, 2001. "The Determinants of Credit Spread Changes," Journal of Finance, American Finance Association, vol. 56(6), pages 2177-2207, December.
- Coudert, V. & Gex, M., 2013. "Why the Greek CDS settlement did not lead to the feared meltdown," Financial Stability Review, Banque de France, issue 17, pages 135-150, April.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- McDonald, Robert L., 2013. "Contingent capital with a dual price trigger," Journal of Financial Stability, Elsevier, vol. 9(2), pages 230-241.
- Oliver Hart & Luigi Zingales, 2011.
"A New Capital Regulation for Large Financial Institutions,"
American Law and Economics Review, American Law and Economics Association, vol. 13(2), pages 453-490.
- Hart, Oliver & Zingales, Luigi, 2009. "A New Capital Regulation For Large Financial Institutions," Institutions and Markets Papers 56220, Fondazione Eni Enrico Mattei (FEEM).
- Hart, Oliver & Zingales, Luigi, 2009. "A New Capital Regulation For Large Financial Institutions," CEPR Discussion Papers 7298, C.E.P.R. Discussion Papers.
- Luigi Zingales & Oliver Hart, 2009. "A New Capital Regulation For Large Financial Institutions," Working Papers 2009.124, Fondazione Eni Enrico Mattei.
- Virginie Coudert & Mathieu Gex, 2013. "Why the Greek CDS settlement did not lead to the feared meltdown," Post-Print hal-01449894, HAL.
- Lars Norden & Martin Weber, 2009. "The Co†movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis," European Financial Management, European Financial Management Association, vol. 15(3), pages 529-562, June.
- Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014.
"A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk,"
Journal of Finance,
American Finance Association, vol. 69(6), pages 2689-2739, December.
- Acharya, Viral V & Drechsler, Itamar & Schnabl, Philipp, 2011. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," CEPR Discussion Papers 8679, C.E.P.R. Discussion Papers.
- Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2011. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," Working Papers 2012-004, Becker Friedman Institute for Research In Economics.
- Viral V. Acharya & Itamar Drechsler & Philipp Schnabl, 2011. "A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk," NBER Working Papers 17136, National Bureau of Economic Research, Inc.
- Ang, Andrew & Longstaff, Francis A., 2013.
"Systemic sovereign credit risk: Lessons from the U.S. and Europe,"
Journal of Monetary Economics, Elsevier, vol. 60(5), pages 493-510.
- Andrew Ang & Francis A. Longstaff, 2011. "Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe," NBER Working Papers 16982, National Bureau of Economic Research, Inc.
- Ms. Edda Zoli & Ms. Silvia Sgherri, 2009. "Euro Area Sovereign Risk During the Crisis," IMF Working Papers 2009/222, International Monetary Fund.
- Roberto Blanco & Simon Brennan & Ian W. Marsh, 2005. "An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps," Journal of Finance, American Finance Association, vol. 60(5), pages 2255-2281, October.
- Rishi Goyal & Petya Koeva Brooks & Mahmood Pradhan & Thierry Tressel & Giovanni Dell'Ariccia & Ceyla Pazarbasioglu, 2013. "A Banking Union for the Euro Area," IMF Staff Discussion Notes 13/01, International Monetary Fund.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Alsakka, Rasha & ap Gwilym, Owain & Vu, Tuyet Nhung, 2014. "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 235-257.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Avino, Davide & Cotter, John, 2014.
"Sovereign and bank CDS spreads: Two sides of the same coin?,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 72-85.
- Avino, Davide & Cotter, John, 2014. "Sovereign and bank CDS spreads: two sides of the same coin?," MPRA Paper 55208, University Library of Munich, Germany.
- John Cotter & Davide Avino, 2014. "Sovereign and bank CDS spreads: two sides of the same coin?," Working Papers 201402, Geary Institute, University College Dublin.
- Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
- Kizys, Renatas & Paltalidis, Nikos & Vergos, Konstantinos, 2016. "The quest for banking stability in the euro area: The role of government interventions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 111-133.
- da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina, 2014.
"Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-27.
- da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina, 2013. "Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference," Economics Discussion Papers 2013-52, Kiel Institute for the World Economy (IfW Kiel).
- Patrick Augustin, 2012. "Sovereign Credit Default Swap Premia," Working Papers 12-10, New York University, Leonard N. Stern School of Business, Department of Economics.
- Calice, Giovanni & Mio, RongHui & Štěrba, Filip & Vašíček, Bořek, 2015.
"Short-term determinants of the idiosyncratic sovereign risk premium: A regime-dependent analysis for European credit default swaps,"
Journal of Empirical Finance, Elsevier, vol. 33(C), pages 174-189.
- Giovanni Calice & RongHui Miao & Filip Sterba & Borek Vasicek, 2013. "Short-Term Determinants of the Idiosyncratic Sovereign Risk Premium: A Regime-Dependent Analysis for European Credit Default Swaps," Working Papers 2013/13, Czech National Bank.
- Vašíček, Bořek & Calice, Giovanni & Miao, RongHui & Štěrba, Filip, 2014. "Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for european credit default swaps," Working Paper Series 1717, European Central Bank.
- Avino, Davide & Nneji, Ogonna, 2014.
"Are CDS spreads predictable? An analysis of linear and non-linear forecasting models,"
International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
- Avino, Davide & Nneji, Ogonna, 2012. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," MPRA Paper 42848, University Library of Munich, Germany.
- Broto, Carmen & Pérez-Quirós, Gabriel, 2015.
"Disentangling contagion among sovereign CDS spreads during the European debt crisis,"
Journal of Empirical Finance, Elsevier, vol. 32(C), pages 165-179.
- Carmen Broto & Gabriel Perez-Quiros, 2013. "Disentangling contagion among sovereign cds spreads during the european debt crisis," Working Papers 1314, Banco de España.
- Jitmaneeroj, Boonlert, 2018. "Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads," Research in International Business and Finance, Elsevier, vol. 46(C), pages 324-341.
- Papafilis, Michalis-Panayiotis & Psillaki, Maria & Margaritis, Dimitris, 2015. "Interdependence between Sovereign and Bank CDS Spreads in Eurozone during the European Debt Crisis - The PSI Effect," MPRA Paper 68037, University Library of Munich, Germany.
- Avino, Davide & Lazar, Emese & Varotto, Simone, 2013.
"Price discovery of credit spreads in tranquil and crisis periods,"
International Review of Financial Analysis, Elsevier, vol. 30(C), pages 242-253.
- Avino, Davide & Lazar, Emese & Varotto, Simone, 2012. "Price Discovery of Credit Spreads in Tranquil and Crisis Periods," MPRA Paper 42847, University Library of Munich, Germany.
- Davide Avino & Emese Lazar & Simone Varotto, 2011.
"Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options,"
ICMA Centre Discussion Papers in Finance
icma-dp2011-17, Henley Business School, University of Reading.
- Avino, Davide & Lazar, Emese & Varotto, Simone, 2012. "Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options," MPRA Paper 56781, University Library of Munich, Germany.
- Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori, 2011.
"The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps,"
LSF Research Working Paper Series
11-13, Luxembourg School of Finance, University of Luxembourg.
- Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari, 2011. "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," LSF Research Working Paper Series 11-04, Luxembourg School of Finance, University of Luxembourg.
- Sorin Gabriel Anton, 2011. "The Local Determinants Of Emerging Market Sovereign Cds Spreads In The Context Of The Debt Crisis. An Explanatory Study "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 58, pages 41-52, november.
- Veronika Kajurova & Jana Hvozdenska, 2016. "Linkages between CDS, bond and stock markets: Evidence from Europe," MENDELU Working Papers in Business and Economics 2016-63, Mendel University in Brno, Faculty of Business and Economics.
- Miroslav Mateev & Elena Marinova, 2019. "Relation between Credit Default Swap Spreads and Stock Prices: A Non-linear Perspective," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 1-26, January.
- Brasel, Kelsey R. & Hill, Mary S. & Taylor, Gary K., 2022. "The relevance of GAAP vs. non-GAAP net assets to creditors: An examination of the credit default swap market," Advances in accounting, Elsevier, vol. 56(C).
- Ka Kei Chan & Ming‐Tsung Lin & Qinye Lu, 2024. "Corporate credit default swap systematic factors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1224-1256, July.
- Zimmermann, Paul, 2021. "The role of the leverage effect in the price discovery process of credit markets," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
- Stephen Zamore & Kwame Ohene Djan & Ilan Alon & Bersant Hobdari, 2018. "Credit Risk Research: Review and Agenda," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 811-835, March.
More about this item
Keywords
Credit default swap spreads; price discovery; information flow; financial crisis; banks; sovereign risk; bank capital; contingent capital;All these keywords.
JEL classification:
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G20 - Financial Economics - - Financial Institutions and Services - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2014-06-28 (Banking)
- NEP-CFN-2014-06-28 (Corporate Finance)
- NEP-FMK-2014-06-28 (Financial Markets)
- NEP-OPM-2014-06-28 (Open Economy Macroeconomics)
- NEP-RMG-2014-06-28 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:56782. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.