This paper reviews the young but rapidly growing literature on sovereign credit default swap
premia. A discussion of current debates in the academic and popular press hopefully raises …

Credit default swaps (CDS) have been growing in importance in the global financial
markets. However, their role has been hotly debated, in industry and academia, particularly …

The global financial crisis of 2008–2009 that was triggered by the Lehman Brothers
bankruptcy produced a liquidity problem in the shadow banking in the United States and a …

We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …

Global capital markets can react dramatically to elections in developing countries, affecting
governments' access to finance and sometimes setting off broader crises. We argue …

We investigate the pricing of sovereign credit risk over the period 2008–10 for selected
advanced economies by examining two widely‐used indicators: sovereign credit default …

From the 2007 subprime crisis to the recent Eurozone debt crisis, the banking industry has
experienced terrible financial instability with increasing volatility levels of bank default …

We examine the dynamic interconnections between sovereign credit and liquidity risks in ten
euro area countries at the 5-year maturity with daily CDS data from IHS Markit and high …

Purpose The purpose of this paper is to study the volatility spillover among 33 worldwide
sovereign Credit Default Swap (CDS) markets and their underlying bond markets …

In this paper we propose to study the dynamics of financial contagion between the credit
default swap (CDS) and the sovereign bond markets through effective transfer entropy, a …