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@inproceedings{1122013,
author = {Kajurová, Veronika and Hvozdenská, Jana},
address = {Brno},
booktitle = {European Financial Systems 2013. Proceedings of the 10th International Scientific Conference},
editor = {Oleg Deev, Veronika Kajurová, Jan Krajíček},
keywords = {credit default swap market; bond market; causality},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Brno},
isbn = {978-80-210-6294-8},
pages = {158-163},
publisher = {Masaryk University},
title = {Linkages between bonds and credit default swaps of the European financial institutions},
year = {2013}
}
TY - JOUR
ID - 1122013
AU - Kajurová, Veronika - Hvozdenská, Jana
PY - 2013
TI - Linkages between bonds and credit default swaps of the European financial institutions
PB - Masaryk University
CY - Brno
SN - 9788021062948
KW - credit default swap market
KW - bond market
KW - causality
N2 - Credit default swap markets have been considered as a leading indicator of the future development of creditworthiness, which can point out the potential situation in economy. The aim of the study is to find out whether the role of credit default swap markets and bond markets has been changed by the financial crisis and the debt crisis. The attention is paid to the credit default swaps and bonds of 22 financial institutions, which are included in Markit iTraxx Europe Senior Financial index. Granger causality tests are employed in order to discover short-run causality. Findings can be favourable for all participants in the financial markets, especially for investors and regulators as a possible indicator of credit risk.
ER -
KAJUROVÁ, Veronika and Jana HVOZDENSKÁ. Linkages between bonds and credit default swaps of the European financial institutions. In Oleg Deev, Veronika Kajurová, Jan Krajíček. \textit{European Financial Systems 2013. Proceedings of the 10th International Scientific Conference}. Brno: Masaryk University, 2013. p.~158-163. ISBN~978-80-210-6294-8.
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