NOMINÁLNY VÝMENNÝ KURZ A SWAPY ÚVEROVÉHO ZLYHANIA NA VLÁDNE DLHOPISY: KOINTEGRÁCIA A GRANGEROVA KAUZALITA

• Autorzy: Boďa Martin , Ľubomír Pinter , Emília Zimková

Warianty tytułu

EN

Nominal exchange rate and sovereign credit default swaps: co-integration and Granger causality

• Języki publikacji: SK

Abstrakty

EN

The paper offers an insight into the relationship between the euro to US dollar nominal exchange rate and the cost of sovereign credit default swaps (CDSs) of five selected countries of the Eurozone: Germany and the PIGS countries. The investigation is undertaken under the rationalized belief that the former indicator represents the status of external economic stability of a country and the latter indicator is a descriptor of their internal debt capacity. The results affirm, inter alia, that there were substantial differences in the intensity and quality of the relation between external economic stability and internal debt capacity during the pre-crisis period as opposed to the crisis period.

Słowa kluczowe

EN

EURO; US DOLLAR; EXCHANGE RATE; SOVEREIGN CREDIT DEFAULT SWAPS; CO-INTEGRATION; GRANGER CAUSALITY; EUROZONE

• Wydawca: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Czasopismo: Ekonomický časopis (Journal of Economics)
• Rocznik: 2014
• Tom: 62
• Numer: 1
• Strony: 46 – 70

Twórcy

autor

Boďa Martin

• Univerzita Mateja Bela v Banskej Bystrici, Ekonomická fakulta, Katedra kvantitatívnych metód a informačných systémov, Tajovského 10, 975 90 Banská Bystrica, Slovak Republic,

autor

Ľubomír Pinter

autor

Emília Zimková