On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10327849" target="_blank" >RIV/00216208:11320/16:10327849 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/16:10327849
Result on the web
<a href="http://journal.fsv.cuni.cz/storage/1373_buzkova.pdf" target="_blank" >http://journal.fsv.cuni.cz/storage/1373_buzkova.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis
Original language description
The reliability of the credit default swap market was questioned repeatedly during the EMU debt crisis. This article examines whether this development influenced sovereign EMU CDS prices in general. We regress the CDS market price on a model risk neutral CDS price obtained from an adopted reduced form valuation model in the 2009-2013 period. We look for a breakpoint in the single-equation and multi-equation econometric models in order to show the changes in relationships between the CDS market and model prices. Our results differ according to the risk profile of a country. We find that in the case of riskier countries, the relationship between the market and model price changed when market participants started to question the ability of CDS contracts to protect their buyers. Specifically, it weakened after the change. In the case of less risky countries, the change happened earlier and the effect of a weakened relationship is not observed.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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