IDEAS home Printed from https://ideas.repec.org/a/zag/zirebs/v18y2015i2p21-30.html
   My bibliography  Save this article

The CDS and the Government Bonds Markets During the Last Financial Crisis

Author

Listed:
  • France Križaniè Žan Jan Oplotnik

    (EIPF Ltd. Economic institute, Ljubljana, Slovenia University of Maribor, Faculty of Economics and Business, Maribor, Slovenia)

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. JEL Classification: E44; F34; G15

Suggested Citation

  • France Križaniè Žan Jan Oplotnik, 2015. "The CDS and the Government Bonds Markets During the Last Financial Crisis," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 18(2), pages 21-30, November.
    • Handle: RePEc:zag:zirebs:v:18:y:2015:i:2:p:21-30
    as

    Download full text from publisher

    File URL: http://www.efzg.unizg.hr/default.aspx?id=23891
    Download Restriction: Abstract only available on-line
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Bonds; Yield; CDS; International fi nancial markets; Macroeconomics;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zag:zirebs:v:18:y:2015:i:2:p:21-30. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jurica Šimurina (email available below). General contact details of provider: https://edirc.repec.org/data/fefzghr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.