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

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/16:10327849

Výsledek na webu

<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

—

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

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

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název periodika

Finance a úvěr

ISSN

0015-1920

e-ISSN

—

Svazek periodika

66

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

29

Strana od-do

510-538

Kód UT WoS článku

000390952900002

EID výsledku v databázi Scopus

2-s2.0-85007453221