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
Resource Information
The item Equity prices, credit default swaps, and bond spreads in emerging markets, Jorge A. Chan-Lau and Yoon Sook Kim represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of San Diego Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Equity prices, credit default swaps, and bond spreads in emerging markets, Jorge A. Chan-Lau and Yoon Sook Kim represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of San Diego Libraries.
This item is available to borrow from 1 library branch.
- 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
- Language
- eng
- Extent
- 1 online resource (30 pages)
- 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 Merton�s Corporate Debt Model""""B. Why Merton�s Model Applies For Sovereign Issuers""; ""References""
- Isbn
- 9781451844559
- 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
- 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
- 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
- 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 Merton�s Corporate Debt Model""""B. Why Merton�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
- 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 Merton�s Corporate Debt Model""""B. Why Merton�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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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.sandiego.edu/portal/Equity-prices-credit-default-swaps-and-bond/htHyhx6CEH8/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.sandiego.edu/portal/Equity-prices-credit-default-swaps-and-bond/htHyhx6CEH8/">Equity prices, credit default swaps, and bond spreads in emerging markets, Jorge A. Chan-Lau and Yoon Sook Kim</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.sandiego.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.sandiego.edu/">University of San Diego Libraries</a></span></span></span></span></div>
