Object

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

Creator:

Kliber, Agata

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:

Wrocław

Date:

2019

Resource Type:

artykuł

Resource Identifier:

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

Language:

eng

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

Object collections:

Last modified:

Nov 15, 2019

In our library since:

Nov 15, 2019

Number of object content hits:

9

All available object's versions:

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

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