About: Analysis of Sovereign Risk Market Indicators: The Case of the Czech Republic

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this article we discuss the credit default swap (CDS) as an indicator for measuring sovereign credit risk and the relationship between the sovereign CDS market and government bond market. We analyze 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 countries with different sovereign risks. In this article we discuss the credit default swap (CDS) as an indicator for measuring sovereign credit risk and the relationship between the sovereign CDS market and government bond market. We analyze 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 countries with different sovereign risks. (en)
Title	Analysis of Sovereign Risk Market Indicators: The Case of the Czech Republic Analysis of Sovereign Risk Market Indicators: The Case of the Czech Republic (en)
skos:prefLabel	Analysis of Sovereign Risk Market Indicators: The Case of the Czech Republic Analysis of Sovereign Risk Market Indicators: The Case of the Czech Republic (en)
skos:notation	RIV/61989100:27510/13:86088250!RIV14-GA0-27510___
http://linked.open...avai/predkladatel	Ekonomická fakulta
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GAP403/11/2073)
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Komárek, Luboš
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	60641
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/13:86088250
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	credit default swap, sovereign risk, financial stability (en)
http://linked.open.../riv/klicoveSlovo	credit default swap sovereign risk financial stability
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[2A1F74CA59ED]
http://linked.open...i/riv/nazevZdroje	Finance a úvěr - Czech Journal of Economics and Finance
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Procyclicality of financial markets, asset price bubbles and macroprudential regulation
http://linked.open...UplatneniVysledku	2013
http://linked.open...v/svazekPeriodika	63
http://linked.open...iv/tvurceVysledku	Komárek, Luboš Komárková, Zlatuše Lešanovská, Jitka
http://linked.open...ain/vavai/riv/wos	000316376500002
issn	0015-1920
number of pages	20 (xsd:int)
http://localhost/t...ganizacniJednotka	27510

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