How connected is the global sovereign credit risk network?

Arbeitspapier

We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and volatilities for 38 countries between 2009 and 2014. Our results reveal striking differences be- tween the network structures of returns and volatilities. In SCDS return networks, developing and developed countries stand apart in two big clusters. In the case of the SCDS volatility networks, however, we observe regional clusters among emerging market countries along with the developed-country cluster. We also show that global factors are more important than domestic factors in the determination of SCDS returns and volatilities. Finally, emerging market countries are the key generators of connectedness of sovereign credit risk shocks while severely problematic countries as well as developed countries play relatively smaller roles.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 1515

Klassifikation und Themen

• Klassifikation: Wirtschaft ; International Lending and Debt Problems ; International Financial Markets ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Insurance; Insurance Companies; Actuarial Studies ; Financial Aspects of Economic Integration
• Thema: Sovereign Credit Default Swaps ; Sovereign Credit Risk ; Systemic risk ; Connect-edness ; Network Estimation ; Lasso ; Elastic Net ; Vector Autoregression ; Variance Decomposition

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bostancı, Görkem ; Yılmaz, Kamil
• Ereignis: Veröffentlichung
• (wer): Koç University-TÜSİAD Economic Research Forum (ERF)
• (wo): Istanbul
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/129367
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ