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

Agata Kliber

Abstract

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.
Author Agata Kliber (WIiGE / KMS)
Agata Kliber,,
- Department of Applied Mathematics
Journal seriesArgumenta Oeconomica, ISSN 1233-5835, (N/A 40 pkt)
Issue year2019
No2 (43)
Pages137-167
Publication size in sheets1.5
Keywords in PolishCDS, kryzys finansowy, zmienność, VAR, GARCH, przyczynowość
Keywords in EnglishCDS, financial crisis, volatility, VAR, GARCH, Granger causality test, Hong test
ASJC Classification1408 Strategy and Management; 2002 Economics and Econometrics
DOIDOI:10.15611/aoe.2019.2.06
URL http://yadda.icm.edu.pl/yadda/element/bwmeta1.element.ekon-element-000171575746
Languageen angielski
Score (nominal)40
Score sourcejournalList
ScoreMinisterial score = 40.0, 06-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.191; WoS Impact Factor: 2017 = 0.178 (2) - 2017=0.222 (5)
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