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Authors

  • France Križanič
  • Jan Žan Oplotnik
  • Vasja Kolšek

CDS market and the government bond market after the onset of the current financial crisis

Gospodarska gibanja 466

Abstract

The process by which the difference in yields between Slovenian and  German bonds widened, despite the reduction of the credit risk in Slovenia, did not take place via the CDS market. A Granger causality test shows that in the period 2009 to 2012 the dynamics of the unemployment rate and ECB interest rates, as well as the dynamics of the Slovenian stock market index and the Slovenian general government deficit-to-GDP ratio were ahead of the dynamics of CDS prices, connected to Slovenian bonds.

Key words: Bonds, Yield, CDS, International financial markets, Macroeconomics

JEL: E44, E47, E65, F32, F34, F41, G15, H63Original

Full article is available in Slovenian language.

Only a part of the articles in the publication Gospodarska gibanja (Economic Trends) is written in the English language. Please visit the Slovenian web page.

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