Sovereign CDS Instruments in Central Europe – Linkages and Interdependence

Agata Kliber

Dynamic Econometric Models, 2011, vol. 11, 111-128

Abstract: In the article, linkages among sovereign CDS instruments in Central Europe are investigated. Special attention is paid to the change of causality patterns during the Hungarian and Greek crises. The results of the research reveal that the expectations do play a role in determining the prices of the contracts, as well as that there exist regional causality relationships between the instruments. The strength of causality between the volatilities of Polish – Hungarian and Czech-Hungarian CDS prices weakened during the Hungarian crisis, while the volatilities of the three time series reacted rapidly and strongly to the Greek one. This suggest that the European events should play more important role in determining the dynamics of the contracts than the problems of the country of the weakest fundamentals in the region.

Keywords: multivariate volatility; credit default swap; contagion; sunspot; Central Europe. (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.dem.umk.pl/dem/archiwa/v11/08_Kliber%20A.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:11:y:2011:p:111-128

Access Statistics for this article

Dynamic Econometric Models is currently edited by Mariola Pilatowska

More articles in Dynamic Econometric Models from Uniwersytet Mikolaja Kopernika
Bibliographic data for series maintained by Miroslawa Buczynska ().