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Analysis of Sovereign Risk Market Indicators: The Case of the Czech Republic

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86088250" target="_blank" >RIV/61989100:27510/13:86088250 - isvavai.cz</a>

  • Alternative codes found

    RIV/00216208:11230/13:10295840 RIV/04274644:_____/13:#0000017

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Analysis of Sovereign Risk Market Indicators: The Case of the Czech Republic

  • Original language description

    In this article we discuss the credit default swap (CDS) as an indicator for measuring sovereign credit risk and the relationship between the sovereign CDS market and government bond market. We analyze the links between the sovereign CDS and sovereign yield spread and try to determine which of these markets is the leading one in the price discovery process in the case of the Czech Republic. We then apply quantile analysis to sovereign CDS spreads to demonstrate the cross-country spillover effects. The results of the first analysis suggest that movements in the Czech sovereign CDS spread preceded movements in the sovereign yield spread during the global crisis. The results of the second analysis indicate that the shock arising from the current debt crisis was transmitted to the Czech sovereign credit premium, although the fundamental or market factors driving its level dominated. The results of the Czech case are compared to selected European countries with different sovereign risks.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GAP403%2F11%2F2073" target="_blank" >GAP403/11/2073: Procyclicality of financial markets, asset price bubbles and macroprudential regulation</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2013

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Finance a úvěr - Czech Journal of Economics and Finance

  • ISSN

    0015-1920

  • e-ISSN

  • Volume of the periodical

    63

  • Issue of the periodical within the volume

    1

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    20

  • Pages from-to

    5-24

  • UT code for WoS article

    000316376500002

  • EID of the result in the Scopus database