Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

 
Author/Editor: Jorge A. Chan-Lau ; Yoon Sook Kim
 
Publication Date: February 01, 2004
 
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
 
Summary: 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.
 
Series: Working Paper No. 04/27
Subject(s): Equilibrium | Equity prices | Emerging markets | International financial markets

Author's Keyword(s): Credit derivatives | bond spreads | equity prices | price discovery | equilibrium | emerging markets
 
English
Publication Date: February 01, 2004
ISBN/ISSN: 9781451844559/1018-5941 Format: Paper
Stock No: WPIEA0272004 Pages: 31
Price:
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