Sovereign CDS Instruments in Central Europe – Linkages and Interdependence
Journal Title: Dynamic Econometric Models - Year 2011, Vol 11, Issue 1
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.
Authors and Affiliations
Agata Kliber
Keywords
Related Articles
- EP ID EP119419
- DOI -
- Views 86
- Downloads 0
On the Interpretation of Causality in Granger’s Sense
The concept of causality formulated in 1969 by C.W.J. Granger is mostly popular in the econometric literature. The central assumption of the concept is the fact that the cause precedes the effect and can help in forecast...
Comparison of Certain Dynamic Estimation Methods of Value at Risk on Polish Gas Market
The paper compares the results of the estimation of VaR made using Markov chains as well as linear and non-linear autoregressive models. A comparative analysis was conducted for linear returns of the daily value of the g...
Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models
In the paper, we consider the Box-Cox transformation of financial time series in Stochastic Volatility models. Bayesian approach is applied to make inference about the Box-Cox transformation parameter (). Using daily da...
Modeling of Dynamic Spatial Processes
The paper is concerned with econometric modeling of the dynamic spatial processes on the example of the GDP per capita in selected European countries. The considerations of the paper are focused on investigations of the...
Identification of the Structures of Spatial and Spatio-Temporal Processes and a Problem of Data Aggregation
The paper concerns the measurement of the dependence between economic spatial and also spatio-temporal processes at various levels of data aggregation. The considerations refer to the investigations confirming efficiency...