TY - JOUR N2 - The goal of the paper is to verify the direction of sovereign risk transmission between sovereign CDS and sovereign bond markets in the Central European economies: the Czech Republic, Hungary and Poland. We focus on the hectic crisis period of 2008-2013. On the one hand, the sCDS market is said to react faster to the news than the sovereign bonds market. On the other hand, the bond market is related more closely to the internal situation of the country than the sCDS one and thus can price the sovereign risk more accurate. Moreover, the relationships between the markets can change during crisis time. We find that in the case of most risky and most indebted economy in Hungary there was a feedback between sCDS and sovereign bonds risk. In the case of Poland sCDS market risk Granger caused the risk of sovereign bonds – if we exclude instantaneous causality from the analysis; when it is included, feedback occurred. Eventually, in the case of the Czech Republic the risk of sCDS market Granger caused risk of the bonds market. L1 - http://czasopisma.pan.pl/Content/114116/PDF-MASTER/mainFile.pdf L2 - http://czasopisma.pan.pl/Content/114116 PY - 2019 IS - No 3 EP - 172 DO - 10.24425/cejeme.2019.130676 KW - sovereign credit default swaps KW - bond yields KW - Central and Eastern Europe KW - risk transmission A1 - Będowska-Sójka, Barbara A1 - Kliber, Agata PB - Oddział PAN w Łodzi DA - 30.09.2019 T1 - Risk Transmission Between Sovereign Credit Default Swaps and Government Bonds During the Global Financial Crisis. The Case of the Czech Republic, Hungary and Poland SP - 153 UR - http://czasopisma.pan.pl/dlibra/publication/edition/114116 T2 - Central European Journal of Economic Modelling and Econometrics ER -