Linkages between bonds and credit default swaps of the European financial institutions

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KAJUROVÁ Veronika HVOZDENSKÁ Jana

Rok publikování 2013
Druh Článek ve sborníku
Konference European Financial Systems 2013. Proceedings of the 10th International Scientific Conference
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
Obor Ekonomie
Klíčová slova credit default swap market; bond market; causality
Přiložené soubory
Popis Credit default swap markets have been considered as a leading indicator of the future development of creditworthiness, which can point out the potential situation in economy. The aim of the study is to find out whether the role of credit default swap markets and bond markets has been changed by the financial crisis and the debt crisis. The attention is paid to the credit default swaps and bonds of 22 financial institutions, which are included in Markit iTraxx Europe Senior Financial index. Granger causality tests are employed in order to discover short-run causality. Findings can be favourable for all participants in the financial markets, especially for investors and regulators as a possible indicator of credit risk.
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