The behaviour of sovereign CDS and government bond in the Euro zone crisis Online publication date: Tue, 10-May-2016
by Takayasu Ito
International Journal of Monetary Economics and Finance (IJMEF), Vol. 9, No. 2, 2016
Abstract: Sovereign CDS and government bond markets are integrated only in the Netherlands and not in Austria, Belgium, Finland, France, Germany, Greece, Italy, Ireland, Portugal, or Spain. Even though the CDS and government bond markets are separated, mutual influences between them are found in Greece, Italy, Ireland and Portugal with a one-way influence from the government bond market to the CDS market in Spain. This means that the CDS market functions as insurance in Spain but not elsewhere. The intensified sovereign crisis delivered a shock to the CDS and government bond markets, resulting in the loss of market integration and the price discovery function. No evidence is found that the CDS market intensified the degree of the crisis because a unilateral influence from the CDS market to the government bond market is not observed in any of the countries studied.
Online publication date: Tue, 10-May-2016
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Monetary Economics and Finance (IJMEF):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email email@example.com