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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
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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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
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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
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