Μελέτη των σχέσεων μεταξύ αξιολόγησης πιστοληπτικής ικανότητας χωρών, συμβάσεων ανταλλαγής κινδύνου αθέτησης και διαφορών απόδοσης δανεισμού
An empirical study of the relationship between sovereign credit ratings, credit default swaps and government bond spreads
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Keywords
Κρατικά ομόλογα ; Σύμβαση ανταλλαγής κινδύνου αθέτησης ; Περιθώριο απόδοσης ; Αξιολόγηση πιστοληπτικής ικανότητας ; Ευρωπαϊκή κρίση χρέους ; Αιτιότητα κατά Granger ; Συνολοκλήρωση ; Ανάλυση γεγονότος ; Sovereign bond ; Credit default swaps ; Credit spread ; Credit rating ; European debt crisis ; Granger causality ; Co-integration ; Event studyAbstract
This study provides an empirical evaluation of the dynamic relationship between government bond yields and their associated credit default swaps (CDS). In addition, this study investigates the role of top credit rating agencies (CRAs) under an analysis of the interactions between the changes in sovereign debt ratings and the corresponding CDS prices (CDS price or premium or spread). The reported investigation is based on data from eight European countries for the period between 2005 and 2014. Therefore, the analysis deals the time period before the start of the financial crisis of 2007, the entire period of the recent European debt crisis and the recovery period after the crisis. The data come from four peripheral European countries (Ireland, Italy, Portugal and Spain) that have faced higher borrowing costs at the beginning of the crisis and from four central European countries (Austria, Belgium, France and Holland) that were less affected by the crisis.
Postgraduate Studies Programme
Οικονομική και Επιχειρησιακή ΣτρατηγικήDepartment
Σχολή Οικονομικών, Επιχειρηματικών και Διεθνών Σπουδών. Τμήμα Οικονομικής ΕπιστήμηςNumber of pages
116Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές