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Author
Kliber Agata (Poznań University of Economics, Poland), Będowska-Sójka Barbara (Poznań University of Economics, Poland)
Title
Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads
Sytuacja gospodarcza kraju, czy oczekiwania? Co decyduje o dynamice polskich kontraktów CDS?
Source
Dynamic Econometric Models, 2013, vol. 13, s. 87-106, aneks, rys., bibliogr. 19 poz.
Keyword
Swap ryzyka kredytowego, Indeks giełdowy, Kurs walutowy, Zmienność
Credit default swap (CDS), Stock market indexes, Exchange rates, Variability
Note
summ., streszcz.
Abstract
W artykule dokonano analizy dynamiki kontraktów CDS (Credit Default Swap - instrumentów zamiany ryzyka kredytowego) wystawianych na polskie euroobligacje. Badanie dotyczy okresu 2008-2013. Celem badania jest określenie, czy na dynamikę kontraktów wpływ mają wydarzenia międzynarodowe, czy też krajowe, a w rezultacie, czy spread kontraktów, interpretowany jako wskaźnik ryzyka danego kraju, faktycznie to ryzyko odzwierciedla. Na podstawie uzyskanych wyników można stwierdzić, że do opisu dynamiki i zmienności kontraktów CDS wystarczy model ze zmiennymi reprezentującymi ryzyko krajów sąsiadujących, nie uwzględniający wielkości związanych z jego gospodarką. (abstrakt oryginalny)

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. (original abstract)
Accessibility
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business
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Bibliography
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ISSN
1234-3862
Language
eng
URI / DOI
http://dx.doi.org/10.12775/DEM.2013.005
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