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The sovereign credit default swap market – is there anything to be afraid of? A comparison of selected central and western european economies

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Title: The sovereign credit default swap market – is there anything to be afraid of? A comparison of selected central and western european economies

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Argumenta Oeconomica, 2019, Nr 2 (43), s. 137-167

Abstrakt:

The paper concentrates on the impact of sovereign CDS (sCDS) on other financial markets within a country, and tests whether the impact changed after imposing the ban on trade of the non-covered sCDS in Europe (November 2012). The European sCDS of Poland, Hungary, and the Czech Republic (emerging markets) as well as Sweden and the United Kingdom (developed markets) are analysed over the period of 2008-2013. We investigate the influence between the sCDS and the foreign exchange market, sCDS and sovereign bonds, as well as sCDS and stock exchanges. The results vary depending on the liquidity and maturity of the analysed markets, indicating that the Central European markets used to be more prone to sunspots and volatility transmission than the Western ones. The study suggests that in most cases the impact of the CDS on other financial markets diminished after November 2012 and that the markets of speculative investment grade contributed most to the ban

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

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Resource Identifier:

doi:10.15611/aoe.2019.2.06 ; oai:dbc.wroc.pl:73315

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Relation:

Argumenta Oeconomica, 2019, Nr 2 (43)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

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Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Group publication title:

Argumenta Oeconomica

Subject and keywords:

CDS financial crisis volatility VAR GARCH Granger causality test Hong test

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Last modified:

May 26, 2022

In our library since:

Nov 15, 2019

Number of object content hits:

367

All available object's versions:

https://dbc.wroc.pl/publication/141940

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Argumenta Oeconomica

Edition name	Date
The sovereign credit default swap market – is there anything to be afraid of? A comparison of selected central and western european economies	May 26, 2022

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