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?
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)
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.
FRED is a good source.
You can find info on both those topics by searching the site.