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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

  • 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

  • e-ISSN

  • 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