Abstract
The object of the study is the causality analysis of credit and liquidity risk on Treasury bond market in selected European countries, during the crisis of Greece’s public finances from 2010 to 2013. The specific aim of the study is to determine: do we have to deal with so-called contagion effect in Treasury bonds market? Additionally, the survey is designed to identify the causality of the credit and liquidity risk in selected European countries. The analysis was conducted in two trials: 1. for the countries of Central and Eastern Europe, represented by Czech Republic and Poland, 2. for developed countries - Austria and France. For this purpose used Granger causality test, the procedure is based on vector autoregression models - VAR. However, to determine the variation in bond yields was used the GARCH (1.1) model.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
