| Abstract [eng] |
This work examines Lithuania's, Estonia's and Latvia's Credit Default Swaps (CDS) spreads and compares them with stock market indexes. First, we examines co-integration between Lithuania's CDS and stock market indexes, showed that there's no co-integrations between those variables. Second, by using Toda-Yamamoto causality test, has been shown bi-causality between Lithuania's CDS and some of the stock market indexes. Third, has been applied Detrended Cross-Correlation Analyses (DCCA) to explore cross-correlation between Lithuina's CDS and stock market indexes and shown that when using differentiated data, there's cross-correlation between Lithuania's CDS and stock market. Also, in this paper, has been used Factorial Analyses, and shown that Lithuania's CDS depend more on global variables than internal ( as percentage of Government Dept from GDP). By analysing financial data witch is non-stationary and nonlinear were used Logarithmic Smooth Transition Autoregressive model for Lithuania's CDS and shown that there are two regime in the model (crisis and after crisis period), and transition between them is very fast. By using Panel Smooth Transition Regress for countries CDS where countries effect were included into a model. As a result, null hypothesis was not rejected and for the estimation used simple Autoregress. |
