Coverart for item
The Resource Equity prices, credit default swaps, and bond spreads in emerging markets, Jorge A. Chan-Lau and Yoon Sook Kim

Equity prices, credit default swaps, and bond spreads in emerging markets, Jorge A. Chan-Lau and Yoon Sook Kim

Label
Equity prices, credit default swaps, and bond spreads in emerging markets
Title
Equity prices, credit default swaps, and bond spreads in emerging markets
Statement of responsibility
Jorge A. Chan-Lau and Yoon Sook Kim
Creator
Contributor
Author
Issuing body
Subject
Genre
Language
eng
Summary
This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various pressures that arise in the market. In most countries, however, we do not find any equilibrium price relationship between the bond and CDS markets and the equity markets. As for price discovery, our results are mixed. This stands in contrast to the empirical findings on corporate issuers in the United States and Europe
Member of
Action
digitized
Cataloging source
OCLCE
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Chan-Lau, Jorge A
Illustrations
illustrations
Index
no index present
LC call number
HG3881.5.I58
LC item number
W67 no.04/27 ONLINE
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Kim, Yoon Sook
  • International Monetary Fund
Series statement
IMF Working Paper
Series volume
WP/04/27
http://library.link/vocab/subjectName
  • Credit derivatives
  • Bonds
  • Swaps (Finance)
  • Bonds
  • Credit derivatives
  • Swaps (Finance)
  • Developing countries
Label
Equity prices, credit default swaps, and bond spreads in emerging markets, Jorge A. Chan-Lau and Yoon Sook Kim
Instantiates
Publication
Copyright
Antecedent source
file reproduced from original
Bibliography note
Includes bibliographical references (pages 29-30)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
black and white
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • ""Contents""; ""I. INTRODUCTION""; ""II. BACKGROUND""; ""A. Overview: Credit Derivatives""; ""B. Credit Default Swaps""; ""C. Credit Default Swaps in Emerging Markets""; ""III. CDS, BOND, AND EQUITY PRICES""; ""A. Relationship Between CDS and Bond Spreads""; ""B. Relationship Between Bond Spreads and Equity Prices""; ""C. Look at the Data""; ""IV. EMPIRICAL METHODOLOGY""; ""V. RESULTS""; ""A. Existence of Equilibrium Price Relationships in the CDS, Bond, and Equity Markets""; ""B. Price Discovery""; ""VI. CONCLUSIONS""; ""APPENDIX""
  • ""A. Equity and Debt Prices Linkages in Mertonâ€?s Corporate Debt Model""""B. Why Mertonâ€?s Model Applies For Sovereign Issuers""; ""References""
Control code
647638218
Dimensions
unknown
Extent
1 online resource (30 pages)
Form of item
online
Isbn
9781451844559
Issn
2227-8885
Level of compression
  • lossless
  • lossy
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781451892246.001
Other physical details
illustrations
Reformatting quality
  • preservation
  • access
Reproduction note
Electronic reproduction.
Specific material designation
remote
System control number
  • imfWPIEA0272004
  • (IMF)WPIEA0272004
  • (OCoLC)647638218
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Label
Equity prices, credit default swaps, and bond spreads in emerging markets, Jorge A. Chan-Lau and Yoon Sook Kim
Publication
Copyright
Antecedent source
file reproduced from original
Bibliography note
Includes bibliographical references (pages 29-30)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
black and white
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • ""Contents""; ""I. INTRODUCTION""; ""II. BACKGROUND""; ""A. Overview: Credit Derivatives""; ""B. Credit Default Swaps""; ""C. Credit Default Swaps in Emerging Markets""; ""III. CDS, BOND, AND EQUITY PRICES""; ""A. Relationship Between CDS and Bond Spreads""; ""B. Relationship Between Bond Spreads and Equity Prices""; ""C. Look at the Data""; ""IV. EMPIRICAL METHODOLOGY""; ""V. RESULTS""; ""A. Existence of Equilibrium Price Relationships in the CDS, Bond, and Equity Markets""; ""B. Price Discovery""; ""VI. CONCLUSIONS""; ""APPENDIX""
  • ""A. Equity and Debt Prices Linkages in Mertonâ€?s Corporate Debt Model""""B. Why Mertonâ€?s Model Applies For Sovereign Issuers""; ""References""
Control code
647638218
Dimensions
unknown
Extent
1 online resource (30 pages)
Form of item
online
Isbn
9781451844559
Issn
2227-8885
Level of compression
  • lossless
  • lossy
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781451892246.001
Other physical details
illustrations
Reformatting quality
  • preservation
  • access
Reproduction note
Electronic reproduction.
Specific material designation
remote
System control number
  • imfWPIEA0272004
  • (IMF)WPIEA0272004
  • (OCoLC)647638218
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.

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