<abstract xmlns="http://www.w3.org/1999/xhtml"><p>Financial market had developed a special instrument to insure the buyers of bonds. This instrument is so called Credit Default Swap (CDS). The CDS price is a kind of insurance premium that the buyer of CDS pays to the seller of CDS in exchange for compensation of possible loss in operation. Paper analyses causality between CDS price and dynamics of bond yields and influence of macroeconomic factors on it in four selected countries during the last financial crisis. Analysis results show that there is no important macroeconomic variable included in the analysis that preceded the CDS prices connected with German government bonds. Sellers of CDS were apparently aware of the systemic nature of the financial crisis in the euro area. In the case of the United Kingdom, Russia and Slovenia we can observe the unemployment rate as the most important macroeconomic variable that preceded the CDS prices for government bonds.</p></abstract>

Financial market had developed a special instrument to insure the buyers of bonds. This instrument is so called Credit Default Swap (CDS). The CDS price is a kind of insurance premium that the buyer of CDS pays to the seller of CDS in exchange for compensation of possible loss in operation. Paper analyses causality between CDS price and dynamics of bond yields and influence of macroeconomic factors on it in four selected countries during the last financial crisis. Analysis results show that there is no important macroeconomic variable included in the analysis that preceded the CDS prices connected with German government bonds. Sellers of CDS were apparently aware of the systemic nature of the financial crisis in the euro area. In the case of the United Kingdom, Russia and Slovenia we can observe the unemployment rate as the most important macroeconomic variable that preceded the CDS prices for government bonds.

The CDS and the Government Bonds Markets During the Last Financial Crisis

France Križanič is at EIPF Ltd. Economic institute, Ljublj ana, Slovenia.

Žan Jan Oplotnik is at University of Maribor, Faculty of Economics and Business, Maribor, Slovenia.

Zagreb International Review of Economics and Business

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"The CDS and the Government Bonds Markets During the Last Financial Crisis"}

Financial market had developed a special instrument to insure the buyers of bonds. This instrument is so called Credit Default Swap (CDS). The CDS price is a...

The CDS and the Government Bonds Markets During the Last Financial Crisis

Published Online: Nov 27, 2015

Page range: 21 - 30

DOI: https://doi.org/10.1515/zireb-2015-0007

Keywords
Bonds, Yield, CDS, International financial markets, Macroeconomics

© 2015 France Križanič et al., published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

The CDS and the Government Bonds Markets During the Last Financial Crisis

Published Online: Nov 27, 2015

Page range: 21 - 30

DOI: https://doi.org/10.1515/zireb-2015-0007

KeywordsBonds, Yield, CDS, International financial markets, Macroeconomics

© 2015 France Križanič et al., published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Keywords
Bonds, Yield, CDS, International financial markets, Macroeconomics