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dc.contributor.authorKomárek, Luboš
dc.contributor.authorKomárková, Zlatuše
dc.contributor.authorLešanovská, Jitka
dc.date.accessioned2018-02-12T13:22:27Z
dc.date.available2018-02-12T13:22:27Z
dc.date.issued2013
dc.identifier.citationFinance a úvěr - Czech Journal of Economics and Finance. 2013, vol. 63, no. 1, p. 5-24.cs
dc.identifier.issn0015-1920
dc.identifier.urihttp://hdl.handle.net/10084/123987
dc.description.abstractIn 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.cs
dc.format.extent478184 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoencs
dc.publisherUniverzita Karlova. Fakulta sociálních vědcs
dc.relation.ispartofseriesFinance a úvěr - Czech Journal of Economics and Financecs
dc.relation.urihttp://journal.fsv.cuni.cz/storage/1263_5-24---komarkova4.5.ak.pdfcs
dc.subjectcontagioncs
dc.subjectsovereign riskcs
dc.subjectCDScs
dc.titleAnalysis of sovereign risk market indicators: the case of the Czech Republiccs
dc.typearticlecs
dc.rights.accessrestrictedAccesscs
dc.type.versionpublishedVersioncs
dc.type.statusPeer-reviewedcs
dc.description.sourceWeb of Sciencecs
dc.description.volume63cs
dc.description.issue1cs
dc.description.lastpage24cs
dc.description.firstpage5cs
dc.identifier.wos000316376500002


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Zobrazit minimální záznam