THE RELATIONSHIP BETWEEN CDS AND BOND SPREADS: LITERATURE DISCUSSION FROM A BIBLIOMETRIC PERSPECTIVE

Semra Bank; Elif Kahraman

Article Details

THE RELATIONSHIP BETWEEN CDS AND BOND SPREADS: LITERATURE DISCUSSION FROM A BIBLIOMETRIC PERSPECTIVE

Authors:

Semra Bank | Elif Kahraman

Publisher:

Marmara University

Journal:

Öneri Dergisi Vol.18 Issue 59, pp.15-39

Document Type:

Article

Publication Date:

1/2023

Document Language:

Turkish

Document ID (Org No.):

2001283165

pISSN:

1300-0845

Keywords:

Abstract:

 The importance of CDS and bond markets in terms of pricing of credit risk has led to the emergence of many studies on the equilibrium relationship between the two markets in the relevant literature. Although initial studies have suggested that there is mostly a long-term equilibrium relationship between both market basis, recent studies may reveal that there may be both short-term and long-term deviations from the equilibrium under the influence of different factors, that the lead-lag relationships in price discovery of relevant markets may differ, or that there may not be an equilibrium relationship between the markets. This study deals with the studies on the relationship between CDS and bond basis with a bibliometric approach due to the conflicting findings of the related literature and presents a comparative evaluation of these studies.

 The importance of CDS and bond markets in terms of pricing of credit risk has led to the emergence of many studies on the equilibrium relationship between the two markets in the relevant literature. Although initial studies have suggested that there is mostly a long-term equilibrium relationship between both market basis, recent studies may reveal that there may be both short-term and long-term deviations from the equilibrium under the influence of different factors, that the lead-lag relationships in price discovery of relevant markets may differ, or that there may not be an equilibrium relationship between the markets. This study deals with the studies on the relationship between CDS and bond basis with a bibliometric approach due to the conflicting findings of the related literature and presents a comparative evaluation of these studies.

 The importance of CDS and bond markets in terms of pricing of credit risk has led to the emergence of many studies on the equilibrium relationship between the two markets in the relevant literature. Although initial studies have suggested that there is mostly a long-term equilibrium relationship between both market basis, recent studies may reveal that there may be both short-term and long-term deviations from the equilibrium under the influence of different factors, that the lead-lag relationships in price discovery of relevant markets may differ, or that there may not be an equilibrium relationship between the markets. This study deals with the studies on the relationship between CDS and bond basis with a bibliometric approach due to the conflicting findings of the related literature and presents a comparative evaluation of these studies.

 CDS ve tahvil piyasalarının kredi riskinin fiyatlandırması açısından taşıdığı önem ilgili literatürde iki piyasa arasındaki denge ilişkisine yönelik çok sayıda çalışmanın ortaya çıkmasına yol açmıştır. İlk çalışmalar her iki piyasa marjları arasında çoğunlukla uzun vadeli denge ilişkisinin olduğunu ortaya koysa da, yakın zamanlı çalışmalar farklı faktörlerin etkisi altında dengeden gerek kısa gerekse uzun vadeli sapmalar olabileceğini, ilgili piyasaların fiyat keşfindeki öncül-ardıl ilişkilerinin farklılaşabileceğini veya piyasalar arasında bir denge ilişkisinin mevcut olmayabileceğini ortaya koymuştur. Bu çalışma, ilgili literatürün çelişkili bulguları itibariyle CDS ve tahvil marjları ilişkisine yönelik olan çalışmaları bibliyometrik bir yaklaşımla ele almakta ve bu çalışmalara ilişkin karşılaştırmalı bir değerlendirme sunmaktadır.

Article Details

THE RELATIONSHIP BETWEEN CDS AND BOND SPREADS: LITERATURE DISCUSSION FROM A BIBLIOMETRIC PERSPECTIVE

Authors:

Semra Bank | Elif Kahraman

Publisher:

Marmara University

Journal:

Öneri Dergisi Vol.18 Issue 59, pp.15-39

Document Type:

Article

Publication Date:

1/2023

Document Language:

Turkish

Document ID (Org No.):

2001283165

pISSN:

1300-0845

CDS

Bond spreads

equilibrium

price discovery

CDS-Bond basis

CDS

Tahvil marjları

denge

fiyat keşfi

CDS-Tahvil bazı

Issues

Article Details

Authors: Semra Bank | Elif Kahraman

Publisher: Marmara University

Journal: Öneri Dergisi Vol.18 Issue 59, pp.15-39

Document Type: Article

Publication Date: 1/2023

Document Language: Turkish

Document ID (Org No.): 2001283165

pISSN: 1300-0845

Issues

Authors:

Semra Bank | Elif Kahraman

Publisher:

Marmara University

Journal:

Öneri Dergisi Vol.18 Issue 59, pp.15-39

Document Type:

Article

Publication Date:

1/2023

Document Language:

Turkish

Document ID (Org No.):

2001283165

pISSN:

1300-0845