Front Matter
Author:
Mr. Emre Alper
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,
Lorenzo Forni
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, and
Mr. Marc Gerard
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Front Matter Page

Fiscal Affairs Department

Contents

  • I. Introduction

  • II. Dynamic Relationships between CDS and RAS Spreads

  • III. Determinants of CDS and RAS Spreads

  • IV. Concluding Remarks

  • Data Appendix

  • Tables

  • 1. Panel and Individual Unit Root Test Results on the Basis (CDS-RAS)

  • 2. Individual Cointegration Test and Error-correction Model Estimation Results for CDS and RAS Spreads

  • 3. CDS Spreads Regressions

  • 4. RAS Spreads Regressions

  • 5. CDS Spreads Regressions — Country Breakdown

  • 6. RAS Spreads Regressions—Country Breakdown

  • Figures

  • 1. CDS Gross Notional Outstanding Amounts as a Share of Total Public Debt: Selected Countries over the Period 2008–11

  • 2. CDS and RAS Spread Developments

  • 3. Expected one year ahead Primary Deficit and CDS/RAS Spreads — Large Advanced Economies

  • 4. Expected one year ahead Primary Deficit and CDS/RAS Spreads — Selected

  • References

  • Collapse
  • Expand
Pricing of Sovereign Credit Risk: Evidence From Advanced Economies During the Financial Crisis
Author:
Mr. Emre Alper
,
Lorenzo Forni
, and
Mr. Marc Gerard