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

Skip to main menu
Skip to search engine
Skip to content
Skip to footer

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

Download

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

Creator:

Description:

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

Place of publication:

Date:

Resource Type:

Resource Identifier:

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

Language:

Relation:

Argumenta Oeconomica, 2019, Nr 2 (43)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

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

Object collections:

Last modified:

May 26, 2022

In our library since:

Nov 15, 2019

Number of object content hits:

270

All available object's versions:

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

Show description in RDF format:

Show description in OAI-PMH format:

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

Similar

Argumenta Oeconomica

Argumenta Oeconomica

Daily VaR forecasts with realized volatility and GARCH models

Będowska-Sójka, Barbara

2015

artykuł

Ekonomia XXI Wieku = Economics of the 21st Century

Ekonomia XXI Wieku = Economics of the 21st Century

Rola instrumentów pochodnych w kryzysie finansowym 2008/2009

Szymańska, Justyna

2014

artykuł

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Analiza porównawcza ryzyka Towarowej Giełdy Energii oraz Internetowej Platformy Obrotu Energią Elektryczną

Garnczarek-Gamrot, Alicja

2010

artykuł

Premia za ryzyko na rynku krótkoterminowych stóp procentowych - porównanie zachowań na rynkach polskim i europejskim w okresie kryzysu

Premia za ryzyko na rynku krótkoterminowych stóp procentowych - porównanie zachowań na rynkach polskim i europejskim w okresie kryzysu

Risk Premium on the Short Rate Market - Comparison of the Polish and European Markets Behaviour During the Crisis

Kliber, Agata Płuciennik, Monika

2011

artykuł

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Accuracy evaluation of modeling the volatility of VIX using GARCH model

Łęczycka, Katarzyna

2015

artykuł

Argumenta Oeconomica

Argumenta Oeconomica

The short-term relationships among the U.S., German and Greek bond markets in times of financial crises. A Bayesian analysis of exogeneity in the VAR-SV model

Modrzejewska, Anita Pajor, Anna

2017

artykuł

Mathematical Economics

Mathematical Economics

Can Google Trends affect sentiment of individual investors? The case of the United States

Kliber, Agata Rutkowska, Aleksandra

2019

artykuł

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Ocena trafności prognoz zmienności indeksu WIG20 konstruowanych na podstawie wybranych modeli klasy GARCH oraz rynkowej zmienności implikowanej

Węgrzyn, Ryszard

2014

artykuł

More

Citation style:

Chicago ISO690 APA IEEE Harvard

Contact details

Address

Wrocław University of Science and Technology (Coordinator)
Library of Wrocław University of Science and Technology
Wybrzeże Wyspiańskiego 27
50-370 Wrocław, Poland

Phone

(+48) 71-320-38-30
(+48) 71-320-47-50

E-Mail

Visit us!

https://biblioteka.pwr.edu.pl/

This page uses 'cookies'. More information