文章基本信息

标题：Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads
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作者：Agata Kliber ; Agata Kliber ; Barbara Będowska-Sójka 等
期刊名称：Dynamic Econometric Models
印刷版ISSN：1234-3862
电子版ISSN：2450-7067
出版年度：2013
卷号：13
页码：87-106
DOI：10.12775/DEM.2013.005
语种：English
出版社：Nicolaus Copernicus University Press
摘要：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.
关键词：sovereign Credit Default Swap; Bond spread; Stock Exchange indices; exchange rates; sunspots; volatility transmission; volatility models; principal component analysis; event analysis