Analysis of Lithuanian credit default swaps
This paper studies international sovereign Credit Default Swaps (CDS) market focusing attention to the CDS of Central and East Europe. The main purpose of the study was to perform detail analysis of Lithuanian CDS in the global capital market. We compared the CDS markets of other countries and found...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2015-10-01
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| Series: | Journal of Business Economics and Management |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/JBEM/article/view/2598 |
| _version_ | 1819279994230145024 |
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| author | Arvydas Kregzde Gediminas Murauskas |
| author_facet | Arvydas Kregzde Gediminas Murauskas |
| author_sort | Arvydas Kregzde |
| collection | DOAJ |
| description | This paper studies international sovereign Credit Default Swaps (CDS) market focusing attention to the CDS of Central and East Europe. The main purpose of the study was to perform detail analysis of Lithuanian CDS in the global capital market. We compared the CDS markets of other countries and found some commonalities between them. We study the credit curve produced by CDS and volatility of CDS. A great attention is paid to investigate the relationship of CDS and the government bond market. Analysis of finding a leading role of CDS and the bond markets in the price discovering process is made. A leading market for different periods is found by using the Vector Error Correction model. Our main finding is that during the volatile period price discovery takes place in the bond market and in the calm period price discovery is observed in the CDS market. Disclosed relationship between CDS spreads and Eurobonds yield risk premium gives an additional decision making tool for sovereign debt managers.
First published online: 29 Apr 2014 |
| first_indexed | 2024-12-24T00:36:44Z |
| format | Article |
| id | doaj.art-f6c19acbed0043cbb1598e95ea8b51ad |
| institution | Directory Open Access Journal |
| issn | 1611-1699 2029-4433 |
| language | English |
| last_indexed | 2024-12-24T00:36:44Z |
| publishDate | 2015-10-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Journal of Business Economics and Management |
| spelling | doaj.art-f6c19acbed0043cbb1598e95ea8b51ad2022-12-21T17:24:04ZengVilnius Gediminas Technical UniversityJournal of Business Economics and Management1611-16992029-44332015-10-0116510.3846/16111699.2014.890130Analysis of Lithuanian credit default swapsArvydas Kregzde0Gediminas Murauskas1Department of Differential Equations and Numerical Analysis, Faculty of Mathematics and Informatics, Vilnius University, Naugarduko g. 24, LT-03225 Vilnius, LithuaniaDepartment of Econometric Analysis, Faculty of Mathematics and Informatics, Vilnius University, Naugarduko g. 24, LT-03225 Vilnius, LithuaniaThis paper studies international sovereign Credit Default Swaps (CDS) market focusing attention to the CDS of Central and East Europe. The main purpose of the study was to perform detail analysis of Lithuanian CDS in the global capital market. We compared the CDS markets of other countries and found some commonalities between them. We study the credit curve produced by CDS and volatility of CDS. A great attention is paid to investigate the relationship of CDS and the government bond market. Analysis of finding a leading role of CDS and the bond markets in the price discovering process is made. A leading market for different periods is found by using the Vector Error Correction model. Our main finding is that during the volatile period price discovery takes place in the bond market and in the calm period price discovery is observed in the CDS market. Disclosed relationship between CDS spreads and Eurobonds yield risk premium gives an additional decision making tool for sovereign debt managers. First published online: 29 Apr 2014https://journals.vgtu.lt/index.php/JBEM/article/view/2598CDSspreadbondleadingcredit riskLithuania |
| spellingShingle | Arvydas Kregzde Gediminas Murauskas Analysis of Lithuanian credit default swaps Journal of Business Economics and Management CDS spread bond leading credit risk Lithuania |
| title | Analysis of Lithuanian credit default swaps |
| title_full | Analysis of Lithuanian credit default swaps |
| title_fullStr | Analysis of Lithuanian credit default swaps |
| title_full_unstemmed | Analysis of Lithuanian credit default swaps |
| title_short | Analysis of Lithuanian credit default swaps |
| title_sort | analysis of lithuanian credit default swaps |
| topic | CDS spread bond leading credit risk Lithuania |
| url | https://journals.vgtu.lt/index.php/JBEM/article/view/2598 |
| work_keys_str_mv | AT arvydaskregzde analysisoflithuaniancreditdefaultswaps AT gediminasmurauskas analysisoflithuaniancreditdefaultswaps |