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摘要
Theoretically, the risk premium captured by credit default swap (CDS) and bond yield spreads should be equal. However, data reveals a significant difference between the two spreads. The authors explore the presence of mean-reverting behavior in this difference (CDS-bond basis) in selected emerging markets, employing alternative threshold models (TAR, TAR-GARCH, and ESTAR). Their results indicate a positive relationship between the speed of adjustment and the trading frequency of sovereign CDSs and bonds.
- 出版日期2013-6
