Abstract
The aim of the article is to verify the impact of the ban on uncovered sCDS trade in Europe on the interdependencies between the sCDS market and other sectors of financial markets. We analyse two European markets: the safe and developed Swedish market, and the risky and developing Hungarian one. The study covers the period from October 2008 to October 2013. We analyse changes in the interdependencies between the sCDS market and the bond market, as well as between the sCDS market and the stock exchange. We found out that in the case of the safe Swedish market, the strength of relationships of each sector of financial markets with the sCDS one was much weaker than in the case of Hungary, which may suggest that the Swedish market is less prone to crisis transmission arising from herd behaviour or speculative attacks. In the end we show that in the two economies, the influence of the sCDS market on the other sectors of financial market indeed diminished following introduction of the ban on uncovered sCDS trade.
Publisher
Uniwersytet Lodzki (University of Lodz)
Reference22 articles.
1. Arce O., Mayordomo S., Peña J.I. (2011), Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis, ‘Journal of International Money and Finance’, 35.
2. Będowska-Sójka B., Kliber A. (2013), Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads, ‘Dynamic Econometric Models’, 13.
3. Bollerslev T. (1986), Generalized Autoregressive Conditional Heteroskedasticity, ‘Journal of Econometrics’, 31.
4. Bollerslev T. (1990), Modeling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH model, ‘Review of Economics and Statistics’, 72.
5. Breuer A., Sauter O. (2012), The impact of a sovereign default within the Euro-zone on the exchange rate, ‘Applied Economics Quarterly’, 58.
Cited by
2 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献