Ters, Kristyna

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Kristyna
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Ters, Kristyna

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  • Publikation
    Intraday dynamics of euro area sovereign credit risk contagion
    (Bank for International Settlements, 07/2016) Ters, Kristyna; Komarek, Lubos; Urban, Jörg [in: Bank for International Settlements Working Paper]
    We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as well as Germany, France and central European countries. Our findings suggest that, prior to the crisis, the CDS and bond markets were similarly important in the transmission of sovereign risk contagion, but that the importance of the bond market waned during the crisis. We find flight-to-safety effects during the crisis in the German bond market that are not present in the pre-crisis sample. Our estimated sovereign risk contagion was greater during the crisis, with an average timeline of one to two hours in GIIPS countries. By using an exogenous macroeconomic news shock, we can show that, during the crisis period, increased credit risk was not related to economic fundamentals. Further, we find that central European countries were not affected by sovereign credit risk contagion, independent of their debt level and currency.
    01B - Beitrag in Magazin oder Zeitung
  • Publikation
    Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion
    (06/2016) Ters, Kristyna; Komarek, Lubos; Urban, Jörg [in: Czech National Bank Working Paper Series]
    We examine the role of the CDS and bond markets during and before the recent euro area sovereign debt crisis as transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as well as Germany, France and central European countries. Our findings suggest that, prior to the crisis, the CDS and bond markets were similarly important in the transmission of sovereign risk contagion, but that the importance of the bond market waned during the crisis. We find flight-to-safety effects during the crisis in the German bond market that are not present in the pre-crisis sample. Our estimated sovereign risk contagion was greater during the crisis, with an average timeline of one to two hours in GIIPS countries. By using an exogenous macroeconomic news shock, we can show that, during the crisis period, increased credit risk was not related to economic fundamentals. Further, we find that central European countries were not affected by sovereign credit risk contagion, independent of their debt level and currency.
    01A - Beitrag in wissenschaftlicher Zeitschrift
  • Publikation
    Intraday dynamics of euro area sovereign CDS and bonds
    (Bank for International Settlements, 09/2013) Ters, Kristyna; Hoerdahl, Peter; Gyntelberg, Jacob; Urban, Jörg [in: Bank for International Settlements Working Paper]
    The recent sovereign debt crisis in the euro area has seen credit spreads on sovereign bonds and credit default swaps (CDS) surge for a number of member states. While these events have increased interest in understanding the dynamics of sovereign spreads in bond and CDS markets, there is little agreement in the literature as to whether one of the two markets is more important than the other in terms of price discovery of sovereign credit risk. In this paper we reexamine this issue using intraday data for both market segments and employing carefully constructed cash (bond) spreads to ensure proper comparability with CDS spreads. This enables us to obtain much sharper estimates in our empirical analysis, and hence substantially clearer results with respect to price discovery. We find that the pricing of sovereign credit risk in the bond and in the CDS market converges over time, and that deviations between the two market segments do not persist for long. A key result is that the CDS market dominates the bond market in terms of price discovery in the vast majority of cases we examine. That is, CDS premia in many cases adjust more quickly to reflect new information than bonds spreads. This result holds also when taking into account transaction costs in the analysis.
    01B - Beitrag in Magazin oder Zeitung