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Title: How credit default swaps affect sovereign debt : the case of Eurozone
Author: Thalassinos, Pantelis E.
ISNI:       0000 0004 7230 939X
Awarding Body: Glasgow Caledonian University
Current Institution: Glasgow Caledonian University
Date of Award: 2014
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Credit Default Swaps (CDS) became very popular and widely referred in the Eurozone during the period of crisis. The reason is that CDS aggravated the crisis by raising the bond spreads of the weaker countries and causing spill-over effects to the stronger ones. The thesis examines the determinants of sovereign debt CDS for ten selected Eurozone countries. It focuses on three different groups of countries in order to find and explain asymmetries among them. The first group consists of ten European countries (ALL-10), the second group of the North Euro-Area Centre (NEAC-5) or CORE European, consisting of 5 countries, namely Germany, France, Austria, The Netherlands and Finland and the third group of the South West Euro-Area Periphery (SWEAP-5) or PUGS, consisting of five countries, namely Portugal, Ireland, Italy, Greece and Spain. The objective of the empirical work is four-fold. First, to establish the determinants of the CDS spreads. Second, to check for pricing discrimination and asymmetries of CDS spreads between SWEAP-5 and NEAC-5 group of countries. Third, to identify a structural change in the pattern of CDS spreads during the global financial and European debt crisis within the two groups. Fourth, to test whether the research hypothesis of speculation and financial discrimination of the market against sovereign countries is valid. Based on the findings of the empirical work the thesis has accomplished its objective. We have evidenced self-fulfilling expectations/speculations, especially in the case of the SWEAP-5 group of countries as well as asymmetries between NEAC-5 and SWEAP-5 groups of countries. The speculative market behaviour has also been confirmed, based on vast differences in the respective elasticities, as well as in the different CDS determinants of the two groups.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available