Η ευρωπαϊκή κρίση χρέους και οι συμβάσεις ανταλλαγής κινδύνου αθέτησης (CDS)
European debt crisis and credit default swaps (CDS)
KeywordsΚρίση χρέους ; Ομόλογα ; Συμβάσεις ανταλλαγής κινδύνου αθέτησης ; Δεδομένα πάνελ ; Debt crisis ; Bonds ; Credit default swaps ; Spreads ; Panel data
The European debt crisis has brought to surface the fiscal deficits of many European countries, as well as these countries’ difficulty in meeting their loan obligations. The whole crisis was initiated by the mortgage market in the USA and it was immediately spread all over Europe by raising the bond spreads. This increase in bond spreads had as a result the increased CDS spreads, showing that for the first time the likelihood of default from a government was non negligible. The CDS market has shown a fast development mainly due to financial instability and the need to reduce the risk of default. There has been a number of studies that use mainly microeconomic and financial variables, which influence on CDS spreads. This work has a different perspective and looks at macroeconomic factors that have a bearing on CDS spreads. As a start, we examine the financial crisis of 2008, as well as the gradual development of the debt crisis in Europe. Further, we discuss the functioning of the bond and CDS markets and the correlation between bond and CDS spreads. The forth chapter discusses the specific factors that may affect CDS spreads and also the CDS pricing models. Finally, using a sample of 10 European countries for the period 2008- 2015 and the multiple regression model with panel data, we report the estimation results on the factors affecting significantly the CDS spreads.