IMF Working Papers

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

By Jorge A Chan-Lau, Yoon Sook Kim

February 1, 2004

Download PDF

Preview Citation

Format: Chicago

Jorge A Chan-Lau, and Yoon Sook Kim. Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets, (USA: International Monetary Fund, 2004) accessed November 21, 2024
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.

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

Publication Details

  • Pages:

    31

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2004/027

  • Stock No:

    WPIEA0272004

  • ISBN:

    9781451844559

  • ISSN:

    1018-5941

You May Also Be Interested In...

Unlocking Adaptation Finance in Emerging Market and Developing Economies

November 19, 2024

Foreign Exchange Intervention Under the Integrated Policy Framework: The Case of India

November 15, 2024

Grenada: Systemic Risk Monitoring

November 7, 2024

The Federal Democratic Republic of Ethiopia: First Review Under the Extended Credit Facility Arrangement, Request for Modification of Performance Criteria, and Financing Assurances Review-Press Release; Staff Report; and Statement by the Executive Director for The Federal Democratic Republic of Ethiopia

November 4, 2024