Original paper
Fear or Fundamentals? Speculation in the European Sovereign CDS Market
Abstract
This paper proposes a model for credit default swap (CDS) spreads under heterogeneous expectations to explain the escalation in sovereign European CDS spreads and the widening variations across European sovereigns following the Global Financial Crisis (GFC). In our model, investors believe that sovereign CDS spreads are determined by country-specific fundamentals and momentum. By estimating the model we find evidence that, whilst some of the...
Paper Details
Title
Fear or Fundamentals? Speculation in the European Sovereign CDS Market
Published Date
Jan 1, 2013
Journal
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Notes
History