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- W2186619647 abstract "This paper analyzes the determinants and effect of credit default swap (CDS) trading initiation on sovereign bonds in 54 countries, focusing on market completeness, price efficiency and borrowing costs. We find that CDS initiation enhances market completeness in the majority of countries in our sample. Our results suggest that for high default risk and low financial openness countries, CDS initiation provides significant price efficiency benefits in the underlying market. In addition, we find that CDS initiation reduces risk premiums to investment-grade sovereigns while increasing borrowing costs for sub-investment-grade economies. CDS trading initiation is more likely following increases in local stock index volatility and the volatility risk premium and decreases in foreign currency reserves and the local currency exchange rate with the USD. Our results are robust to CDS initiation endogeneity controls constructed with these factors." @default.
- W2186619647 created "2016-06-24" @default.
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- W2186619647 date "2012-01-01" @default.
- W2186619647 modified "2023-10-15" @default.
- W2186619647 title "Savior or Sinner? Credit Default Swaps and the Market for Sovereign Debt" @default.
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- W2186619647 doi "https://doi.org/10.2139/ssrn.2019030" @default.
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