KOMÁREK, Luboš, Zlatuše KOMÁRKOVÁ and J. LEŠANOVSKÁ. Analysis of Sovereign Risk Market Indicators: The Case of the Czech Republic. Finance a úvěr. Praha: Economia, 2013, roč. 63, č. 1, p. 5-24. ISSN 0015-1920.
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Basic information
Original name Analysis of Sovereign Risk Market Indicators: The Case of the Czech Republic
Authors KOMÁREK, Luboš (203 Czech Republic), Zlatuše KOMÁRKOVÁ (203 Czech Republic, belonging to the institution) and J. LEŠANOVSKÁ (203 Czech Republic).
Edition Finance a úvěr, Praha, Economia, 2013, 0015-1920.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 50200 5.2 Economics and Business
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
RIV identification code RIV/04274644:_____/13:#0000017
Organization unit University of Finance and Administration
Keywords in English contagion; sovereign risk; CDS
Tags AR 2012-2013, RIV_ne, SCOPUS, WOS, časopis s impakt faktorem
Tags International impact, Reviewed
Changed by Changed by: Ing. Dominika Moravcová, učo 21787. Changed: 24/3/2017 10:38.
Abstract
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.
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