Spillovers and Contagion in the Sovereign CDS Market

• Autorzy: Michał Adam
• Języki publikacji: EN

Abstrakty

EN

This paper focuses on the relationship between sovereign credit default swaps (SCDS) referencing a group of selected developed and emerging economies during the recent sovereign debt crisis. Interdependence and contagion are found on the market dominated by a small number of big international participants. The results show that: (i) a strong commonality exists between global credit spreads (almost half of their variance can be attributed to a single component) with important regional resemblances, (ii) intra-regional spillovers are even more significant, as up to 80% of the forecast error variance of SCDS spreads comes from spillovers, (iii) there is a significant time-variation in spillovers, with contagion from distressed countries gradually diminishing over time as they lose access to bond markets, (iv) the impact of a country's credit spread on the system appears to be largely liquidity-driven (up to 67% is explained by various liquidity measures). (original abstract)

Słowa kluczowe

EN

Indebtedness crisis; Eurozone; Financial markets; Derivatives; Credit risk; Credit default swap (CDS)

PL

Kryzys zadłużeniowy; Strefa euro; Rynki finansowe; Instrumenty pochodne; Ryzyko kredytowe; Swap ryzyka kredytowego

• Czasopismo: Bank i Kredyt
• Rocznik: 2013
• Numer: nr 6
• Strony: 571--604

Twórcy

autor

Michał Adam

• Narodowy Bank Polski

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