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- W2950355016 abstract "The aim of this research is to explore the rela¬tionship between credit default swaps (CDS) and capital markets in order to measure the degree of information efficiency associated with the ability of CDS to predict financial collapse of these Euro¬pean capital markets: Germany, France, Belgium, Britain, Bulgaria, Romania, Italy, Spain, Portugal, Greece and Ireland for the following period 2003- 2016. Applying correlation analysis and Granger Causality Test, we find different degrees of determination and direction of influence between the two financial markets. It may be explained by time period (turmoil or financial stabilization), market trend and level of development. Using logistic regression we disclose a better “predictive” ability of credit default swaps for countries with developed capital markets, compared to the other countries from the euro area and the emerging markets (Bulgaria and Romania). The crisis as an “economic phenomenon” increases the im¬portance of CDS on developed capital markets and turns them into a “reliable” measure and an “alarm” indicator of upcoming risk." @default.
- W2950355016 created "2019-06-27" @default.
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- W2950355016 date "2017-01-01" @default.
- W2950355016 modified "2023-09-28" @default.
- W2950355016 title "Risk Measurements-credit Default Swaps versus Capital Markets – Relationship, Dynamics and Forecast Ability" @default.
- W2950355016 hasPublicationYear "2017" @default.
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