Interactions between sovereign credit default swaps and bonds: The case of EU countries
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F13%3A00069264" target="_blank" >RIV/00216224:14560/13:00069264 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Interactions between sovereign credit default swaps and bonds: The case of EU countries
Original language description
Credit default swap markets are considered as a leading indicator of the future development of creditworthiness, which can point out the potential situation in economy. The study examines the relationship between sovereign credit default swap and bond spreads of the EU countries in the period before, during and after financial crisis. The aim of the study is to find out if the price discovery process in the credit default swap and bond markets has been changed by financial crisis and continuing debt crisis in short-run. A vector autoregressive model in the context of Granger causality is employed to capture causal relationships between observed credit default swap and bond markets. Model is employed on daily and weekly data. Results can be beneficial for all participants in the financial markets, especially for regulators and investors as a possible indicator of credit risk. This research showed that the role of both markets has changed.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 31st International Conference Mathematical Methods in Economics 2013
ISBN
9788087035764
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
356-361
Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Jan 1, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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