{"title":"是本国经济形势还是世界金融市场风险?波兰主权信用违约互换息差的动态","authors":"Agata Kliber, Barbara Będowska-Sójka","doi":"10.12775/DEM.2013.005","DOIUrl":null,"url":null,"abstract":"In the article we examine what determines the Polish sovereign Credit Default Swap dynamics. We consider not only measures of changes of the economic situation of the country, but also the impact of the international data. We find that the dynamics of the Polish sCDSs is very vulnerable to the dynamics of exchange rates, stock indices and bond spreads. These variables allow us to explain its behavior without including variables reflecting economic situation of the country. It is shown that the impact of information inflow is also important.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"13 1","pages":"87-106"},"PeriodicalIF":0.0000,"publicationDate":"2013-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads\",\"authors\":\"Agata Kliber, Barbara Będowska-Sójka\",\"doi\":\"10.12775/DEM.2013.005\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In the article we examine what determines the Polish sovereign Credit Default Swap dynamics. We consider not only measures of changes of the economic situation of the country, but also the impact of the international data. We find that the dynamics of the Polish sCDSs is very vulnerable to the dynamics of exchange rates, stock indices and bond spreads. These variables allow us to explain its behavior without including variables reflecting economic situation of the country. It is shown that the impact of information inflow is also important.\",\"PeriodicalId\":31914,\"journal\":{\"name\":\"Dynamic Econometric Models\",\"volume\":\"13 1\",\"pages\":\"87-106\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-12-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Dynamic Econometric Models\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12775/DEM.2013.005\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Dynamic Econometric Models","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12775/DEM.2013.005","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads
In the article we examine what determines the Polish sovereign Credit Default Swap dynamics. We consider not only measures of changes of the economic situation of the country, but also the impact of the international data. We find that the dynamics of the Polish sCDSs is very vulnerable to the dynamics of exchange rates, stock indices and bond spreads. These variables allow us to explain its behavior without including variables reflecting economic situation of the country. It is shown that the impact of information inflow is also important.
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