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

Year 2023, , 15 - 39, 31.01.2023

Semra Bank , Elif Kahraman

https://doi.org/10.14783/maruoneri.1194979

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.

Keywords

CDS, Bond spreads, equilibrium, price discovery, CDS-Bond basis

CDS VE TAHVİL MARJLARI İLİŞKİSİ: BİBLİYOMETRİK BİR BAKIŞ AÇISINDAN LİTERATÜR ARAŞTIRMASI

Abstract

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

Keywords

CDS, Tahvil marjları, denge, fiyat keşfi, CDS-Tahvil bazı

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