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Title:The CDS and the government bonds markets during the last financial crisis
Authors:Križanič, France (Author)
Oplotnik, Žan (Author)
Files:.pdf Zagreb_International_Review_of_Economics_and_Business_2015_Krizanic,_Oplotnik_The_CDS_and_the_Government_Bonds_Markets_During_the_Last_F.pdf (173,94 KB)
URL http://www.degruyter.com/view/j/zireb.2015.18.issue-2/zireb-2015-0007/zireb-2015-0007.xml
Work type:Scientific work (r2)
Typology:1.01 - Original Scientific Article
Organization:EPF - Faculty of Business and Economics
Abstract:Financial market had developed a special instrument to insure the buyers of bonds. This instrument is so called Credit Default Swap (CDS). The CDS price is a kind of insurance premium that the buyer of CDS pays to the seller of CDS in exchange for compensation of possible loss in operation. Paper analyses causality between CDS price and dynamics of bond yields and influence of macroeconomic factors on it in four selected countries during the last financial crisis. Analysis results show that there is no important macroeconomic variable included in the analysis that preceded the CDS prices connected with German government bonds. Sellers of CDS were apparently aware of the systemic nature of the financial crisis in the euro area. In the case of the United Kingdom, Russia and Slovenia we can observe the unemployment rate as the most important macroeconomic variable that preceded the CDS prices for government bonds.
Keywords:bonds, yield, CDS, international financial markets, macroeconomics
Year of publishing:2015
Number of pages:str. 21-30
Numbering:št. 2, Letn. 18
ISSN on article:1331-5609
COBISS_ID:525192217 Link is opened in a new window
License:CC BY-NC-ND 4.0
This work is available under this license: Creative Commons Attribution Non-Commercial No Derivatives 4.0 International
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Record is a part of a journal

Title:Zagreb International Review of Economics & Business
Shortened title:Zagreb Int. Rev. Econ. Bus.
Publisher:De Gruyter Open
COBISS.SI-ID:5488156 New window

Secondary language

Keywords:državne obveznice, donosnost, CDS, mednarodni finančni trgi, makroekonomija


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