Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads

Agata Kliber and Barbara Będowska-Sójka

Dynamic Econometric Models, 2013, vol. 13, 87-106

Abstract: In the article we examine what determines the Polish sovereign Credit Default Swap dynamics. We consider not only measures of changes of the economic situation of the country, but also the impact of the international data. We find that the dynamics of the Polish sCDSs is very vulnerable to the dynamics of exchange rates, stock indices and bond spreads. These variables allow us to explain its behavior without including variables reflecting economic situation of the country. It is shown that the impact of information inflow is also important.

Keywords: sovereign Credit Default Swap; Bond spread; Stock Exchange indices; exchange rates; sunspots; volatility transmission; volatility models; principal component analysis; event analysis. (search for similar items in EconPapers)
JEL-codes: C22 G14 G32 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:13:y:2013:p:87-106

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