Sovereign CDS Instruments in Central Europe – Linkages and Interdependence
AbstractIn 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.
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Bibliographic InfoArticle provided by Wydawnictwo Naukowe Uniwersytetu Mikolaja Kopernika in its journal Dynamic Econometric Models.
Volume (Year): 11 (2011)
Issue (Month): ()
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multivariate volatility; credit default swap; contagion; sunspot; Central Europe.;
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