Téllez Valle, Cecilia

Profesor/a Titular de Universidad
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First Name
Last Name
Téllez Valle
Universidad Pablo de Olavide
Economía Financiera y Contabilidad
Research Center
Economía Financiera y Contabilidad
Research Group
Finanzas Empresariales y de Mercado
Ciencias Sociales y Jurídicas
PhD programs
Control de Gestión y Finanzas
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  • Publication
    Sovereign bond spreadsand CDS premia in the Eurozone: A causality analysis
    (Universidad Pablo de Olavide, 2020-12-01) Téllez Valle, Cecilia; Martín García, Margarita; Ramón-Jerónimo, María Ángeles; Martín Marín, José Luis
    This article presents an analysis of the possible relationship between the spreads of sovereign bonds and the premia of credit default swaps (CDS) to determine whether they are useful tools for the measurement of the sovereign risk either separately or by taking into account the joint evolution of their values. The data refer to ten countries in the Eurozone along 2008¿2016. By applying the causality Granger test for these variables, after six different ways of proxy, CDS premia are found to be the cause of the risk spreads in certain cases, although a bidirectional relationship is predominant in many other cases. So the CDS market contains clear and highly useful information on the sovereign risk