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

IMF Working Papers, February 1, 2004

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

Examines equilibrium price relationships and price discovery between credit default swap (CDS), bond, and equity markets for emerging market sovereign issuers.
Focuses on how CDS and bond spreads interact and whether equity markets share equilibrium relationships with debt markets.
Series: Working Paper No. 2004/027; Issue: 027; Volume: 2004; Pages: 31.

CDS and bond spreads converge despite various pressures that arise in the market.
In most countries, no equilibrium price relationship is found between the bond and CDS markets and the equity markets.
Price discovery results are mixed across countries.
These findings stand in contrast to empirical findings on corporate issuers in the United States and Europe.

Subject: Credit, Credit default swap, Emerging and frontier financial markets, Financial markets, Financial services, Money, Securities markets, Yield curve.
Keywords: arbitrage forces CDS, bond spreads, CDS investor base, CDS market, CDS position, CDS spread, Credit, Credit default swap, credit derivative, Credit derivatives, credit derivatives market, Emerging and frontier financial markets, emerging markets, equilibrium, equity price, equity prices, Europe, Global, market, price discovery, price discovery process, Securities markets, WP, Yield curve.

IMF Working Paper — Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets (Working Paper No. 2004/027).

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