In this article we discuss the credit default swap (CDS) as an indicator for measur - ing sovereign credit risk and the relationship between the sovereign CDS market and government bond market. We a nalyze the links between the sovereign CDS and sovereign yield spread and try to determine which of these markets is the leading one in the price discovery process in the case of the Czech Republic. We then apply quantile analysis to sovereign CDS spreads to demonstrate the cross -country spillover effects. The results of the first analysis suggest that movements in the Czech sovereign CDS spread preceded movements in the sovereign yield spread during the global crisis. The results of the second analysis indicate that the shock arising from the current debt crisis was transmitted to the Czech sovereign credit premium, although the fundamental or market factors driving its level dominated. The results of the Czech case are compared to selected European countri es with different sovereign risks.