Κατεύθυνση Διαχείρισης Κεφαλαίων και ΚινδύνωνΒιβλιοθήκη Τμήματος Οικονομικών Επιστημών
Δημήτρης Καινούργιος, Αναπληρωτής Καθηγητής, Τμήμα Οικονομικών Επιστημών, Καποδιστριακό Πανεπιστήμιο Αθηνών (ΕΚΠΑ)
Κρατικά ομόλογα και ασφάλιστρα κινδύνου (sovereign bonds & credit default swaps) περίοδος 2009 - 2018
Sovereign bonds & credit default swaps period 2009 - 2018
The purpose of this dissertation is to study the sovereign bonds through theoretical and empirical ways and at the same time we will show their connection with the credit default swaps (known as CDs), investigating if they are in a long-term parrarel course.
For this reason we selected European countries and more specifically Greece, Spain, Italy, Ireland and Portugal which go through an economic crisis. The time period that we took into account in order to study the relationship of the above variables is from January 2009 to August 2018, a time period which includes worldwide economic crisis, the Lehman Brothers investment banks’ bankruptcy and the problem manifestation mainly due to their deficits and their debts.
In the empirical part of the assignment, with the use of the econometrical program Eviews, after we implemented a cointegration control we run to the conclusion that there are indications of a common bonds spreads course in relation to CDs, of the under investigation countries. In other words we concluded in a long-term balanced relationship. Essentially, we came across the fact that the CDs market leads the bonds market for Italy and Ireland while on the contrary when it comes to Greece and Portugal there is a reversal relationship, where the bond market leads the CDs market. Concerning Spain there is a bidirectional influential relationship of spreads, bond and CDs.
Finally, a part of this dissertation, includes the literature review of the examined variables’ connection.
Main subject category:
Social, Political and Economic sciences
Bonds, Credit Default Swaps, Credit Event, Yield, Spreads, Speculation, Hedging, Arbitrage, Interdependency