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Does anyone know where I can download from:

1) historical data for sovereign bond yields (or prices) and 2) historical data for soveregin CDS (credit default swaps) rates?

preferebly free?

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  • $\begingroup$ As you have discovered, CDS data is proprietary, and expensive. As an additional data point, I found no free sources when I looked a few years ago. $\endgroup$
    – Brian Romanchuk
    Apr 20, 2018 at 12:33

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There was a similar question in the Quant. Finance section (see here: https://quant.stackexchange.com/questions/22819/where-to-get-price-data-on-credit-default-swaps)

People suggested the following options: https://www.datagrapple.com/ (free for subscription), http://www.markit.com/Product/Pricing-Data-CDS (not free)

I also guess that Bloomberg and Thomson Reuters databases should also contain historical CDS rates. Practicioners use the data source extensively. Though they are very expensive for a personal use, some universities buy a license to get access to it and it is worth asking people from the finance/banking/econ department if they have access to the database.

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FRED is a good source.

You can find info on both those topics by searching the site.

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    $\begingroup$ thank you very much for your answer. I agree, FRED is a very good source. Unfortunately, I couldn't find any sovereign CDS data $\endgroup$
    – peter5
    Nov 21, 2017 at 7:55

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