Extant literature reports mixed findings on the relative efficiency of credit default swaps (CDS) and bond markets in pricing emerging market sovereign credit risk. Using a more comprehensive data set than analyzed earlier, we reexamine this issue and find that CDS dominate bonds in the price discovery of this risk, an advantage we attribute to the greater relative liquidity of that market. One exception is during the financial crisis, suggesting that when panic hits, sovereign markets price credit risk differently. However, even then, the CDS market has a greater impact on price discovery than the bond market, indicating greater overall efficiency.

JEL Classification: G11, G12, G13, G14, G23

现有文献报道了有关信用违约掉期（CDS）和债券市场在定价新兴市场主权信用风险方面的相对效率的混合结论。使用比以前分析的数据更为全面的数据集，我们重新检查了这个问题，发现CDS在该风险的价格发现中占债券的主导地位，这归因于该市场相对较高的流动性。一个例外是在金融危机期间，这表明当恐慌袭来时，主权市场对信贷风险的定价有所不同。但是，即使那样，CDS市场对价格发现的影响也要比债券市场大，表明总体效率更高。

JEL分类： G11，G12，G13，G14，G23