文章基本信息

标题：Sovereign CDS Instruments in Central Europe – Linkages and Interdependence
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作者：Agata Kliber ; Agata Kliber
期刊名称：Dynamic Econometric Models
印刷版ISSN：1234-3862
电子版ISSN：2450-7067
出版年度：2011
卷号：11
页码：111-128
DOI：10.12775/DEM.2011.008
语种：English
出版社：Nicolaus Copernicus University Press
摘要：In 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 CzechHungarian 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.
关键词：multivariate volatility; credit default swap; contagion; sunspot; Central Europe