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