Economics, Econometrics and Finance
4 years ago

CDS Market Dominates Bonds in Pricing Emerging Market Sovereign Credit Risk.

Journal of Emerging Market Finance
The Relative Role of Sovereign CDS and Bond Markets in Efficiently Pricing Emerging Market Sovereign Credit Risk
Zubair Ali Raja, William J. Procasky, Renee Oyotode‐Adebile

Paper Summary

Sovereign CDS are better at pricing emerging market credit risk than bond markets, mainly due to higher liquidity. During financial crises, both markets react differently, but CDS still lead in price discovery, showing overall greater efficiency.

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