France Križanič (Author), Žan Oplotnik (Author)

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

državne obveznice;donosnost;CDS;mednarodni finančni trgi;makroekonomija;bonds;yield;international financial markets;macroeconomics;

Data

Language: English
Year of publishing:
Typology: 1.01 - Original Scientific Article
Organization: UM EPF - Faculty of Economics and Business
UDC: 339.7
COBISS: 525192217 Link will open in a new window
ISSN: 1331-5609
Views: 843
Downloads: 287
Average score: 0 (0 votes)
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Other data

Secondary language: Slovenian
Secondary keywords: državne obveznice;donosnost;CDS;mednarodni finančni trgi;makroekonomija;
URN: URN:SI:UM:
Type (COBISS): Scientific work
Pages: str. 21-30
Volume: ǂVol. ǂ18
Issue: ǂno. ǂ2
Chronology: 2015
ID: 9599974