Interactions between sovereign credit default swaps and bonds: The case of EU countries

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Interactions between sovereign credit default swaps and bonds: The case of EU countries

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Interactions between sovereign credit default swaps and bonds: The case of EU countries

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 31st International Conference Mathematical Methods in Economics 2013

ISBN

9788087035764

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

356-361

Název nakladatele

College of Polytechnics Jihlava

Místo vydání

Jihlava

Místo konání akce

Jihlava

Datum konání akce

1. 1. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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