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

Published [Washington, D.C.] : International Monetary Fund, ©2004

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Description 1 online resource (30 pages) : illustrations Series IMF working paper, 2227-8885 ; WP/04/27 IMF working paper ; WP/04/27. 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 ModelB. Why Merton�s Model Applies For Sovereign Issuers -- References 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 Bibliography Includes bibliographical references (pages 29-30) Notes 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. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL Print version record Subject Credit derivatives -- Developing countries Swaps (Finance) -- Developing countries Bonds -- Prices -- Developing countries Bonds -- Prices Credit derivatives Swaps (Finance) Developing countries Form Electronic book Author Kim, Yoon Sook, author. International Monetary Fund. International Capital Markets Department, issuing body. ISBN 1281090042 9781281090041 1451892241 9781451892246 9781451844559 1451844557

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