What Determined Sovereign CDS Spreads in the Euro Area?
| Authors | |
|---|---|
| Year of publication | 2014 |
| Type | Article in Proceedings |
| Conference | Conference Proceedings of the 12th International Scientific Conference "Economic Policy in the European Union Member Countries" |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | sovereign credit default swap; determinant; euro area; panel data estimation |
| Attached files | |
| Description | Sovereign credit default swap spreads are considered as a leading indicator of the future development of creditworthiness, which can point out the potential situation in the economy. Thus the investors, governments or policy makers should pay the attention to the factors that can affect sovereign credit default swap spreads. The aim of this paper is to evaluate a role of selected determinants on sovereign credit default swap spread changes over the period 2004-2012 in the euro area member countries. Panel data estimation is conducted in the pre-crisis and crisis in order to capture the changing role of selected determinants. The findings could be beneficial for the participants in the financial markets, as well as for the policy makers both at national and international level. |
| Related projects: |