Greenwood-Nimmo, Matthew, Nguyen, Viet and Shin, Yongcheol (2023) What's Mine is Yours:Sovereign Risk Transmission during the European Debt Crisis. Journal of Financial Stability. 101103. ISSN 1878-0962
Abstract
We use a network model to study the comovement of idiosyncratic sovereign credit risk in Europe. By estimating over rolling samples, we document evidence of excess comovement during the global nancial crisis and the European debt crisis that is indicative of contagion. We show that the intensity of bilateral spillovers is related to the portfolio investment exposures among country-pairs and that the location and shape of the spillover density vary strongly and systematically in relation to published indicators of systemic stress. Because our spillover statistics can be updated daily, they represent a valuable supplement to existing weekly and monthly measures of systemic stress.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2023 Elsevier B.V. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. |
Keywords: | Sovereign credit risk network,credit default swaps (CDS),contagion and systemic stress,network models and connectedness,spillover density |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Pure (York) |
Date Deposited: | 10 Jan 2023 17:50 |
Last Modified: | 27 Nov 2024 00:44 |
Published Version: | https://doi.org/10.1016/j.jfs.2023.101103 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1016/j.jfs.2023.101103 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:195145 |