Sovereign bond spreadsand CDS premia in the EurozoneA causality analysis
- Cecilia Téllez Valle 1
- Margarita Martín García 1
- María Ángeles Ramón Jerónimo 1
- José Luis Martín Marín 1
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1
Universidad Pablo de Olavide
info
ISSN: 1886-516X
Year of publication: 2020
Volume: 30
Pages: 58-78
Type: Article
More publications in: Revista de métodos cuantitativos para la economía y la empresa
Sustainable development goals
Abstract
Este artículo presenta un análisis de la posible relación existente entre los diferenciales de los bonos soberanos y las primas de las permutas financieras de riesgo de impago (CDS, Credit Default Swap), con el objeto de determinar si son herramientas útiles para la medida del riesgo soberano de forma separada o teniendo en cuenta ambas variables. Se toman datos de 10 países de la Eurozona para el periodo 2008-2016. Aplicando el test de causalidad de Granger para esas variables, después de utilizar seis formas distintas de comparación de diferenciales, se concluye que la prima del CDS causa el diferencial de riesgo de crédito en suficientes ocasiones, aunque predomina una relación bidireccional. Así que el mercado de CDS contiene información clara y útil para la evolución del riesgo soberano
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