Chile paper investigates CDS and sovereign bond transmission channel
A working paper published by the Central Bank of Chile in October examines whether or not soaring credit default swap (CDS) prices affect prices in the sovereign bond market.
The author, Mauricio Calani, says the countries he investigated fall into two categories: in one group, countries' bond yields are positively affected by CDS spreads, proving a transmission channel exists, he says. The second group, which the author brands ‘safe havens', is composed of countries where bond yields do not
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