Measuring connectedness of Euro area sovereign risk

Arbeitspapier

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those based on in-sample methods. The resulting relative and absolute connectedness measures find distinct and complementary information from CDS and bond yield data on European area sovereign risk. The detection and use of these second moment di erences of CDS and bond data is new to the literature and allows to identify countries that impose risk on the system from those which sustain risk.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2015-019

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Econometrics ; International Lending and Debt Problems ; Financial Crises ; General Financial Markets: Government Policy and Regulation
• Thema: sovereign risk measurement ; variance decomposition ; connectedness ; CDS and bond spreads ; financial and eurozone crisis

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Gätjen, Rebekka ; Schienle, Melanie
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/119421
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ