Influence of the Greek Crisis on the Risk Perception of European Economies

• Autorzy: Agata Kliber

Warianty tytułu

Influence of the Greek Crisis on the Risk Perception of European Economies

• Języki publikacji: EN

Abstrakty

EN

In the article the author analyses the impact of the Financial Crisis, especially the Greek fiscal one, on the sCDS prices in Europe. The aim of the article is to assess the ability of the sCDS premia to price the risk of countries before and during the Greek crisis. The author analyses sCDS premia of maturity 10 years together with the so called bond-spreads, i.e. the spreads between the countries' bond indexes and the risk free rate of the region (in our case it was the yield of German bonds of corresponding maturity - 10 years). The idea was to check whether there occurred any discrepancies in the risk valuation via the two measures, as a consequence of the Greek crisis. The data is taken daily and covers the period of 2008-2012. Based upon the results obtained in the research we conclude that the Greek crisis indeed influenced the relationships between the two measures of risk, however the degree of the influence was different in different countries. The relationships between the two measures of risk were totally broken only in the case of Greece, while in the other countries the relationships either were not distorted or had been broken already at the beginning of the financial crisis (2008/2009). The Greek problems were indeed reflected in volatilities of all analysed instruments; however triggering the credit event affected only Greek bonds dynamics. (original abstract)

Słowa kluczowe

EN

Risk perception; Bonds; Markov process; GARCH model; Financial crisis

PL

Postrzeganie ryzyka; Obligacje; Procesy Markowa; Model GARCH; Kryzys finansowy

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2013
• Tom: 5
• Numer: nr 2
• Strony: 125--161

Twórcy

autor

Agata Kliber

• Poznań University of Economics, Poland

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2013.119257