Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
Author | : Mr.Jorge A. Chan-Lau |
Publisher | : INTERNATIONAL MONETARY FUND |
Total Pages | : 31 |
Release | : 2004-02-01 |
ISBN-10 | : 1451844557 |
ISBN-13 | : 9781451844559 |
Rating | : 4/5 (559 Downloads) |
Download or read book Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets written by Mr.Jorge A. Chan-Lau and published by INTERNATIONAL MONETARY FUND. This book was released on 2004-02-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.