Pricing of sovereign credit risk : evidence from advanced economies during the financial crisis /
We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbit...
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
[Washington, D.C.] :
International Monetary Fund,
©2012
Washington, D.C. : 2012 |
| Series: | IMF Working Papers ;
Working Paper No. 12/24 IMF Working Papers; Working Paper ; No. 2012/024 IMF eLibrary IMF working paper ; WP/12/24 |
| Subjects: | |
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