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• W3124698848 abstract "In this study, we focus on the dynamic properties of the risk-neutral liquidity risk premium specific to the sovereign credit default swap (CDS) and bond markets. We show that liquidity risk has a non-trivial role and participates directly to the variation over time of the term structure of sovereign CDS and bond spreads for both the pre- and crisis periods. Secondly, our results indicate that the time-varying bond and CDS liquidity risk premium move in opposite directions which imply that when bond liquidity risk is high, CDS liquidity risk is low (and vice versa), which may in turn be consistent with the substitution effect between CDS and bond markets. Finally, our Granger causality analysis reveals that, although the magnitude of bond and CDS liquidity risk are substantially different, there is a strong liquidity flow between the CDS and the bond markets, however no market seems to consistently lead the other." @default.
• W3124698848 created "2021-02-01" @default.
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• W3124698848 date "2014-01-01" @default.
• W3124698848 modified "2023-09-28" @default.
• W3124698848 title "Implied Liquidity Risk Premium in the Term Structure of Sovereign Credit Default Swap and Bond Spreads" @default.
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• W3124698848 doi "https://doi.org/10.2139/ssrn.2317966" @default.
• W3124698848 hasPublicationYear "2014" @default.
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