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Intraday dynamics of euro area sovereign CDS and bonds

Author

Listed:
  • Jacob Gyntelberg
  • Peter Hördahl
  • Kristyna Ters
  • Jörg Urban

Abstract

The recent sovereign debt crisis in the euro area has seen credit spreads on sovereign bonds and credit default swaps (CDS) surge for a number of member states. While these events have increased interest in understanding the dynamics of sovereign spreads in bond and CDS markets, there is little agreement in the literature as to whether one of the two markets is more important than the other in terms of price discovery of sovereign credit risk.

Suggested Citation

  • Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2013. "Intraday dynamics of euro area sovereign CDS and bonds," BIS Working Papers 423, Bank for International Settlements.
    • Handle: RePEc:bis:biswps:423
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Sovereign credit risk; credit default swaps; price discovery; intraday;
    All these keywords.

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