Relationship Between Bulgarian Sovereign Credit Risk and Accounting Information

Authors: Mariya Paskaleva, Ani Stoykova

Abstract: We examine the linkages between accounting information and credit default swap spread in Bulgaria. This paper employs a panel data approach including OLS model and VAR model. We use sovereign credit default swap spread data for the period reaching from the first quarter of 2009 to the fourth quarter of 2016. We apply 3 month Euribor rate as an indicator for risk- free rate. The final sample consists of twenty separate corporate entities from various industries in Bulgaria. The results reveal that accounting information is a relevant source of information to the credit markets. So we may conclude that accounting information is proved to provide incremental influence to the probability of default in Bulgaria. Moreover, CDS spreads has a significant relationship with other accounting and market variables.

WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 16, 2019, Art. #11

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Mariya Paskaleva, Ani Stoykova, "Relationship Between Bulgarian Sovereign Credit Risk and Accounting Information," WSEAS Transactions on Business and Economics, vol. 16, pp. 86-96, 2019
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