An Analysis Of Euro Area Sovereign CDS And Their Relation With Government Bonds

This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. The sample comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. The authors first compare the determinants of CDS spreads and bond spreads and test how the crisis has affected market pricing. Then they analyse the 'Basis' between CDS spreads and bond spreads and which factors drive pricing differences between the two markets.

Provided by: European Central Bank Topic: CXO Date Added: Dec 2010 Format: PDF

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