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 …

The channels for the cross-border propagation of sovereign risk in the international
sovereign debt market are analysed. Identifying sovereign credit events as extraordinary …

We compare the time-varying weak-form efficiency of Credit Default Swap (CDS) markets of
15 emerging countries by using permutation entropy approach. We find that CDS markets …

The article examines causal relationships between sovereign credit default swaps (CDS)
prices for the BRICS and most important EU economies (Germany, France, the UK, Italy …

Sažetak The global financial crisis has proven to be one of the worst and mostdemanding
events ever. According to common understanding, it is highly unlikely for a country to go …

Assessing the dynamics of risk premium measures and their relationship with
macroeconomic fundamentals is essential for macroeconomic policymakers and market …

We investigate interconnectedness and the contagion effect of default risk in Asian
sovereign CDS markets since the global financial crisis. Using dynamic conditional …