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Sovereign Credit Default Swaps and the Eurozone Debt Crisis

Author:
Alexandros Chatzidamianos  


Issue Date:
2011


Abstract(summary):

The purpose of this study is to analyze the repricing of sovereign credit risk in the countries of EMU. Using mainly CDS spreads and secondary bond spreads from 2005 to 2011 to capture the credit risk, I analyze the way that the Euro sovereign debt crisis affected the risk’s sensitivity towards its theoretical determinants. The first finding is that the crisis increased the influence of country-specific factors on spreads’ variations. Additionally, this change is more obvious if we compare between the weakest economies and the strongest economies in Eurozone. Finally, a test in the relationship between CDS spreads and bond spreads indicated that despite their co- movements one of those markets leads the other in the price discovery.


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