Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads

摘要: In this study, we focus on the dynamic properties of risk-neutral liquidity risk premium specific to sovereign credit default swap (CDS) and bond markets. We show that has a non-trivial role participates directly variation over time term structure CDS spreads for both pre- crisis periods. Secondly, our results indicate time-varying move in opposite directions which imply when is high, low (and vice versa), may turn be consistent with substitution effect between Finally, Granger causality analysis reveals that, although magnitude substantially different, there strong flow markets, however, no market seems consistently lead other.