Financial sector bailouts, sovereign bailouts, and the transfer of credit risk
Author
Abstract
Suggested Citation
DOI: 10.1016/j.finmar.2018.11.001
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Andrew Ang & Geert Bekaert, 2002. "International Asset Allocation With Regime Shifts," The Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1137-1187.
- Diebold, Francis X. & Yılmaz, Kamil, 2014.
"On the network topology of variance decompositions: Measuring the connectedness of financial firms,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Koç University-TUSIAD Economic Research Forum Working Papers 1124, Koc University-TUSIAD Economic Research Forum.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Working Papers 11-45, Federal Reserve Bank of Philadelphia.
- Francis X. Diebold & Kamil Yılmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," PIER Working Paper Archive 11-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," NBER Working Papers 17490, National Bureau of Economic Research, Inc.
- Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2018.
"Estimating global bank network connectedness,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 1-15, January.
- Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2015. "Estimating Global Bank Network Connectedness," Koç University-TUSIAD Economic Research Forum Working Papers 1512, Koc University-TUSIAD Economic Research Forum.
- Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yılmaz, 2017. "Estimating Global Bank Network Connectedness," NBER Working Papers 23140, National Bureau of Economic Research, Inc.
- Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2015. "Estimating Global Bank Network Connectedness," PIER Working Paper Archive 15-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 25 Jul 2015.
- Tim Bollerslev & George Tauchen & Hao Zhou, 2009.
"Expected Stock Returns and Variance Risk Premia,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
- Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
- Filippo di Mauro & L. Vanessa Smith & Stephane Dees & M. Hashem Pesaran, 2007.
"Exploring the international linkages of the euro area: a global VAR analysis,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 1-38.
- Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2004. "Exploring the International Linkages of the Euro Area: A Global VAR Analysis," IEPR Working Papers 04.6, Institute of Economic Policy Research (IEPR).
- Dees, S. & di Mauro, F. & Pesaran, M.H. & Smith, L.V., 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Cambridge Working Papers in Economics 0518, Faculty of Economics, University of Cambridge.
- Dées, Stéphane & di Mauro, Filippo & Pesaran, Hashem & Smith, Vanessa, 2005. "Exploring the international linkages of the euro area: a global VAR analysis," Working Paper Series 568, European Central Bank.
- Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2006. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Computing in Economics and Finance 2006 47, Society for Computational Economics.
- Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," CESifo Working Paper Series 1425, CESifo.
- Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018.
"Measuring sovereign contagion in Europe,"
Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
- Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012. "Measuring Sovereign Contagion in Europe," Working Papers No 4/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Leibniz Institute for Financial Research SAFE.
- Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2013. "Measuring Sovereign Contagion in Europe," NBER Working Papers 18741, National Bureau of Economic Research, Inc.
- Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012. "Measuring sovereign contagion in Europe," Working Paper 2012/05, Norges Bank.
- Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012.
"Econometric measures of connectedness and systemic risk in the finance and insurance sectors,"
Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers 2011_21, Department of Economics, University of Venice "Ca' Foscari".
- Alter, Adrian & Schüler, Yves S., 2012.
"Credit spread interdependencies of European states and banks during the financial crisis,"
Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3444-3468.
- Adrian Alter & Yves Stephan Schüler, 2011. "Credit Spead Interdependencies of European States and Banks during the Financial Crisis," Working Paper Series of the Department of Economics, University of Konstanz 2011-24, Department of Economics, University of Konstanz.
- Alter, Adrian & Beyer, Andreas, 2014.
"The dynamics of spillover effects during the European sovereign debt turmoil,"
Journal of Banking & Finance, Elsevier, vol. 42(C), pages 134-153.
- Alter, Adrian & Beyer, Andreas, 2012. "The dynamics of spillover effects during the European sovereign debt turmoil," CFS Working Paper Series 2012/13, Center for Financial Studies (CFS).
- Fulvio Corsi, 2009. "A Simple Approximate Long-Memory Model of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 7(2), pages 174-196, Spring.
- Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014.
"A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk,"
Journal of Finance, American Finance Association, vol. 69(6), pages 2689-2739, December.
- Viral V. Acharya & Itamar Drechsler & Philipp Schnabl, 2011. "A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk," NBER Working Papers 17136, National Bureau of Economic Research, Inc.
- Acharya, Viral & Schnabl, Philipp & Drechsler, Itamar, 2011. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," CEPR Discussion Papers 8679, C.E.P.R. Discussion Papers.
- Bekaert, Geert & Hoerova, Marie, 2014.
"The VIX, the variance premium and stock market volatility,"
Journal of Econometrics, Elsevier, vol. 183(2), pages 181-192.
- Geert Bekaert & Marie Hoerova, 2013. "The VIX, the Variance Premium and Stock Market Volatility," NBER Working Papers 18995, National Bureau of Economic Research, Inc.
- Hoerova, Marie & Bekaert, Geert, 2014. "The VIX, the variance premium and stock market volatility," Working Paper Series 1675, European Central Bank.
- Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Rafferty, Barry, 2016.
"Risk and return spillovers among the G10 currencies,"
Journal of Financial Markets, Elsevier, vol. 31(C), pages 43-62.
- Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Barry Rafferty, 2016. "Risk and Return Spillovers among the G10 Currencies," Melbourne Institute Working Paper Series wp2016n04, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Chudik, Alexander & Fratzscher, Marcel, 2011. "Identifying the global transmission of the 2007-2009 financial crisis in a GVAR model," European Economic Review, Elsevier, vol. 55(3), pages 325-339, April.
- Gyntelberg, Jacob & Hördahl, Peter & Ters, Kristyna & Urban, Jörg, 2018. "Price discovery in euro area sovereign credit markets and the ban on naked CDS," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 106-125.
- Fontana, Alessandro & Scheicher, Martin, 2016.
"An analysis of euro area sovereign CDS and their relation with government bonds,"
Journal of Banking & Finance, Elsevier, vol. 62(C), pages 126-140.
- Scheicher, Martin & Fontana, Alessandro, 2010. "An analysis of euro area sovereign CDS and their relation with government bonds," Working Paper Series 1271, European Central Bank.
- Beirne, John & Fratzscher, Marcel, 2013.
"The pricing of sovereign risk and contagion during the European sovereign debt crisis,"
Journal of International Money and Finance, Elsevier, vol. 34(C), pages 60-82.
- Fratzscher, Marcel & Beirne, John, 2012. "The Pricing of Sovereign Risk and Contagion during the European Sovereign Debt Crisis," CEPR Discussion Papers 9249, C.E.P.R. Discussion Papers.
- Fratzscher, Marcel & Beirne, John, 2013. "The pricing of sovereign risk and contagion during the European sovereign debt crisis," Working Paper Series 1625, European Central Bank.
- Francis X. Diebold & Kamil Yilmaz, 2009.
"Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets,"
Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
- FrancisX. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
- Francis X. Diebold & Kamil Yılmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," Koç University-TUSIAD Economic Research Forum Working Papers 0705, Koc University-TUSIAD Economic Research Forum.
- Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," NBER Working Papers 13811, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring financial asset return and volatility spillovers, with application to global equity markets," Working Papers 08-16, Federal Reserve Bank of Philadelphia.
- Diebold, Francis X. & Yilmaz, Kamil, 2008. "Measuring financial asset return and volatilty spillovers, with application to global equity markets," CFS Working Paper Series 2008/26, Center for Financial Studies (CFS).
- Francis X. Diebold & Kamil Yilmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," PIER Working Paper Archive 07-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Diebold, Francis X. & Yilmaz, Kamil, 2007. "Measuring financial asset return and volatility spillovers, with application to global equity markets," CFS Working Paper Series 2007/02, Center for Financial Studies (CFS).
- Tom Doan, "undated". "RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations," Statistical Software Components RTZ00044, Boston College Department of Economics.
- Gande, Amar & Parsley, David C., 2005.
"News spillovers in the sovereign debt market,"
Journal of Financial Economics, Elsevier, vol. 75(3), pages 691-734, March.
- Amar Gande & David Parsley, 2003. "News Spillovers in the Sovereign Debt Market," Working Papers 062003, Hong Kong Institute for Monetary Research.
- Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2015.
"Systemic Risk and Stability in Financial Networks,"
American Economic Review, American Economic Association, vol. 105(2), pages 564-608, February.
- Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2013. "Systemic Risk and Stability in Financial Networks," NBER Working Papers 18727, National Bureau of Economic Research, Inc.
- Pesaran M.H. & Schuermann T. & Weiner S.M., 2004.
"Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 129-162, April.
- Pesaran, M.H. & Weiner, S.M., 2001. "Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Cambridge Working Papers in Economics 0119, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2002. "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Center for Financial Institutions Working Papers 01-38, Wharton School Center for Financial Institutions, University of Pennsylvania.
- M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2001. "Modelling regional interdependencies using a global error-correcting macroeconometric model," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B4-1, International Conferences on Panel Data.
- PESARAN M. Hashem & SCHUERMANN Til & WEINER Scott, 2010. "Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model," EcoMod2003 330700121, EcoMod.
- Yaron Leitner, 2005. "Financial Networks: Contagion, Commitment, and Private Sector Bailouts," Journal of Finance, American Finance Association, vol. 60(6), pages 2925-2953, December.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2011.
"How Sovereign Is Sovereign Credit Risk?,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 75-103, April.
- Francis A. Longstaff & Jun Pan & Lasse H. Pedersen & Kenneth J. Singleton, 2007. "How Sovereign is Sovereign Credit Risk?," NBER Working Papers 13658, National Bureau of Economic Research, Inc.
- Bostanci, Gorkem & Yilmaz, Kamil, 2020.
"How connected is the global sovereign credit risk network?,"
Journal of Banking & Finance, Elsevier, vol. 113(C).
- Gorkem Bostanci & Kamil Yilmaz, 2015. "How Connected is the Global Sovereign Credit Risk Network?," Koç University-TUSIAD Economic Research Forum Working Papers 1515, Koc University-TUSIAD Economic Research Forum.
- di Mauro, Filippo & Pesaran, M. Hashem (ed.), 2013. "The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis," OUP Catalogue, Oxford University Press, number 9780199670086.
- Hoyong Choi & Philippe Mueller & Andrea Vedolin, 2017. "Bond Variance Risk Premiums," Review of Finance, European Finance Association, vol. 21(3), pages 987-1022.
- Mueller, Philippe & Vedolin, Andrea & Yen, Yu-Min, 2012.
"Bond variance risk premia,"
LSE Research Online Documents on Economics
119053, London School of Economics and Political Science, LSE Library.
- Philippe Mueller & Andrea Vedolin & Yu-min Yen, 2012. "Bond Variance Risk Premia," FMG Discussion Papers dp699, Financial Markets Group.
- Daron Acemoglu & Vasco M. Carvalho & Asuman Ozdaglar & Alireza Tahbaz‐Salehi, 2012.
"The Network Origins of Aggregate Fluctuations,"
Econometrica, Econometric Society, vol. 80(5), pages 1977-2016, September.
- Daron Acemoglu & Vasco Carvalho & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2011. "The network origins of aggregate fluctuations," Economics Working Papers 1291, Department of Economics and Business, Universitat Pompeu Fabra.
- Daron Acemoglu & Vasco M. Carvalho & Asuman E. Ozdaglar & Alireza Tahbaz-Salehi, 2012. "The Network Origins of Aggregate Fluctuations," Levine's Working Paper Archive 786969000000000359, David K. Levine.
- Daron Acemoglu & Vasco M. Carvalho & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2011. "The Network Origins of Aggregate Fluctuations," Working Papers 587, Barcelona School of Economics.
- Fratzscher, Marcel & Chudik, Alexander, 2010.
"Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model,"
CEPR Discussion Papers
8093, C.E.P.R. Discussion Papers.
- Fratzscher, Marcel & Chudik, Alexander, 2011. "Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model," Working Paper Series 1285, European Central Bank.
- Jun Pan & Kenneth J. Singleton, 2008. "Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads," Journal of Finance, American Finance Association, vol. 63(5), pages 2345-2384, October.
- Jennie Bai & Shang-Jin Wei, 2017. "Property Rights and CDS Spreads: When Is There a Strong Transfer Risk from the Sovereigns to the Corporates?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-36, December.
- Fender, Ingo & Hayo, Bernd & Neuenkirch, Matthias, 2012. "Daily pricing of emerging market sovereign CDS before and during the global financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2786-2794.
- Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.
- repec:iae:iaewps:wp2016n4 is not listed on IDEAS
- Ang, Andrew & Longstaff, Francis A., 2013.
"Systemic sovereign credit risk: Lessons from the U.S. and Europe,"
Journal of Monetary Economics, Elsevier, vol. 60(5), pages 493-510.
- Andrew Ang & Francis A. Longstaff, 2011. "Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe," NBER Working Papers 16982, National Bureau of Economic Research, Inc.
- Roberto Blanco & Simon Brennan & Ian W. Marsh, 2005. "An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps," Journal of Finance, American Finance Association, vol. 60(5), pages 2255-2281, October.
- Hui Zou & Trevor Hastie, 2005. "Addendum: Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 768-768, November.
- Matthew Greenwood-Nimmo & Viet Hoang Nguyen, 2015. "Measuring the Connectedness of the Global Economy," Melbourne Institute Working Paper Series wp2015n07, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Hui Zou & Trevor Hastie, 2005. "Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(2), pages 301-320, April.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Zhou, Yuqin & Wu, Shan & Zhang, Zeyi, 2022. "Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network," Energy Economics, Elsevier, vol. 114(C).
- Feng, Yun & Hou, Weijie & Song, Yuping, 2023. "Asymmetric contagion of jump risk in the Chinese financial sector: Monetary policy transmission matters," Economic Modelling, Elsevier, vol. 119(C).
- Bastidon, Cécile & Jawadi, Fredj, 2024.
"Trade fragmentation and volatility-of-volatility networks,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- Cécile Bastidon & Fredj Jawadi, 2024. "Trade fragmentation and volatility-of-volatility networks," Post-Print hal-04478721, HAL.
- Bacchiocchi, Emanuele & Dragomirescu-Gaina, Catalin, 2024.
"Uncertainty spill-overs: When policy and financial realms overlap,"
Journal of International Money and Finance, Elsevier, vol. 143(C).
- Emanuele Bacchiocchi & Catalin Dragomirescu-Gaina, 2021. "Uncertainty spill-overs: when policy and financial realms overlap," Papers 2102.06404, arXiv.org.
- Emanuele Bacchiocchi & Catalin Dragomirescu-Gaina, 2022. "Uncertainty spill-overs: when policy and financial realms overlap," Working Papers wp1174, Dipartimento Scienze Economiche, Universita' di Bologna.
- Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times," IZA Discussion Papers 13274, Institute of Labor Economics (IZA).
- Zhaoyang Li & Yuehan Yang, 2024. "Directed association network analysis on the Standard and Poor’s 500 Index," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 111-127, January.
- Tam Hoang-Nhat Dang & Nhan Thien Nguyen & Duc Hong Vo, 2023. "Sectoral volatility spillovers and their determinants in Vietnam," Economic Change and Restructuring, Springer, vol. 56(1), pages 681-700, February.
- Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir & Gurcan Aygun & Mark E. Wohar, 2022. "Effectiveness of monetary policy under the high and low economic uncertainty states: evidence from the major Asian economies," Empirical Economics, Springer, vol. 63(4), pages 1741-1769, October.
- Liu, Zhenhua & Shi, Xunpeng & Zhai, Pengxiang & Wu, Shan & Ding, Zhihua & Zhou, Yuqin, 2021. "Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach," Resources Policy, Elsevier, vol. 74(C).
- Li, Yueshan & Chen, Shoudong & Sensoy, Ahmet & Wang, Lu, 2024. "Over-expected shocks and financial market security: Evidence from China's markets," Research in International Business and Finance, Elsevier, vol. 68(C).
- Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021.
"Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission,"
Working Papers
hal-03338209, HAL.
- Boeckelmann Lukas & Stalla-Bourdillon Arthur, 2021. "Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission," Working papers 798, Banque de France.
- Greenwood-Nimmo, Matthew & Tarassow, Artur, 2022. "Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks," Journal of Financial Markets, Elsevier, vol. 59(PA).
- Ballester, Laura & López, Jesúa & Pavía, Jose M., 2023. "European systemic credit risk transmission using Bayesian networks," Research in International Business and Finance, Elsevier, vol. 65(C).
- Tomohiro Ando & Matthew Greenwood-Nimmo & Yongcheol Shin, 2022. "Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks," Management Science, INFORMS, vol. 68(4), pages 2401-2431, April.
- Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2021. "Risk and Return Spillovers in a Global Model of the Foreign Exchange Network," Working Papers 11014, South African Reserve Bank.
- Matthew Greenwood‐Nimmo & Viet Hoang Nguyen & Eliza Wu, 2021.
"On the International Spillover Effects of Country‐Specific Financial Sector Bailouts and Sovereign Risk Shocks,"
The Economic Record, The Economic Society of Australia, vol. 97(317), pages 285-309, June.
- Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Eliza Wu, 2020. "On the International Spillover Effects of Country-Specific Financial Sector Bailouts and Sovereign Risk Shocks," Melbourne Institute Working Paper Series wp2020n22, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Tomohiro Ando & Matthew Greenwood-Nimmo & Yongcheol Shin, 2022. "Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks," Management Science, INFORMS, vol. 68(4), pages 2401-2431, April.
- Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Shin, Yongcheol, 2023. "What is mine is yours: Sovereign risk transmission during the European debt crisis," Journal of Financial Stability, Elsevier, vol. 65(C).
- Matthew Greenwood‐Nimmo & Viet Hoang Nguyen & Eliza Wu, 2021.
"On the International Spillover Effects of Country‐Specific Financial Sector Bailouts and Sovereign Risk Shocks,"
The Economic Record, The Economic Society of Australia, vol. 97(317), pages 285-309, June.
- Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Eliza Wu, 2020. "On the International Spillover Effects of Country-Specific Financial Sector Bailouts and Sovereign Risk Shocks," Melbourne Institute Working Paper Series wp2020n22, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Greenwood-Nimmo, Matthew & Tarassow, Artur, 2022. "Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks," Journal of Financial Markets, Elsevier, vol. 59(PA).
- Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2017. "What’s Mine Is Yours: Sovereign Risk Transmission during the European Debt Crisis," Melbourne Institute Working Paper Series wp2017n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Drakos, Anastasios & Moratis, Georgios, 2024. "The impact of COVID-19 on sovereign contagion," Journal of Financial Stability, Elsevier, vol. 70(C).
- Christian Gross & Pierre L. Siklos, 2020.
"Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 61-81, January.
- Christian Gross & Pierre L. Siklos, 2018. "Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach," CQE Working Papers 7218, Center for Quantitative Economics (CQE), University of Muenster.
- Christian Gross & Pierre L. Siklos, 2019. "Analyzing credit risk transmission to the non-financial sector in Europe: A network approach," CAMA Working Papers 2019-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Groß, Christian, 2019. "Analyzing credit risk transmission to the non-financial sector in Europe: a network approach," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203645, Verein für Socialpolitik / German Economic Association.
- Gross, Christian & Siklos, Pierre, 2018. "Analyzing credit risk transmission to the non-financial sector in Europe: a network approach," ESRB Working Paper Series 78, European Systemic Risk Board.
- Bostanci, Gorkem & Yilmaz, Kamil, 2020.
"How connected is the global sovereign credit risk network?,"
Journal of Banking & Finance, Elsevier, vol. 113(C).
- Gorkem Bostanci & Kamil Yilmaz, 2015. "How Connected is the Global Sovereign Credit Risk Network?," Koç University-TUSIAD Economic Research Forum Working Papers 1515, Koc University-TUSIAD Economic Research Forum.
- Haddou, Samira, 2024. "Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
- Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
- Yang, Lu, 2023. "Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk," Resources Policy, Elsevier, vol. 82(C).
- Mardi Dungey & John Harvey & Pierre Siklos & Vladimir Volkov, 2017.
"Signed spillover effects building on historical decompositions,"
CAMA Working Papers
2017-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Dungey, Mardi & Harvey, John & Siklos, Pierre & Volkov, Vladimir, 2017. "Signed spillover effects building on historical decompositions," Working Papers 2017-11, University of Tasmania, Tasmanian School of Business and Economics.
- Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
- Galariotis, Emilios C. & Makrichoriti, Panagiota & Spyrou, Spyros, 2016.
"Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach,"
Journal of Financial Stability, Elsevier, vol. 26(C), pages 62-77.
- Emilios C. Galariotis & Panagiota Makrichoriti & Spyros Spyrou, 2016. "Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach," Post-Print hal-01358715, HAL.
- Dungey, Mardi & Harvey, John & Volkov, Vladimir, 2019.
"The changing international network of sovereign debt and financial institutions,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 149-168.
- Dungey, Mardi & Harvey, John & Volkov, Vladimir, 2017. "The changing international network of sovereign debt and financial institutions," Working Papers 2017-04, University of Tasmania, Tasmanian School of Business and Economics.
- Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis N., 2023.
"Sovereign bond and CDS market contagion: A story from the Eurozone crisis,"
Journal of International Money and Finance, Elsevier, vol. 137(C).
- Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis, 2020. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," MPRA Paper 102846, University Library of Munich, Germany.
- Georgios Bampinas & Theodore Panagiotidis & Panagiotis N. Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Working Paper series 23-09, Rimini Centre for Economic Analysis.
- Georgios Bampinas & Theodore Panagiotidis & Panagiotis Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Post-Print hal-04164277, HAL.
- De Bruyckere, Valerie & Gerhardt, Maria & Schepens, Glenn & Vander Vennet, Rudi, 2013.
"Bank/sovereign risk spillovers in the European debt crisis,"
Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4793-4809.
- De Bruyckere, V. & Gerhardt, M. & Schepens, G., 2012. "Bank/sovereign Risk Spillovers in the European Debt Crisis," Other publications TiSEM 71b16c7d-81a7-4572-afcb-b, Tilburg University, School of Economics and Management.
- V. De Bruyckere & M. Gerhardt & G. Schepens & R. Vander Vennet, 2012. "Bank/sovereign risk spillovers in the European debt crisis," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 12/828, Ghent University, Faculty of Economics and Business Administration.
- Valerie De Bruyckere & Maria Gerhardt & Glenn Schepens & Rudi Vander Vennet, 2012. "Bank/sovereign risk spillovers in the European debt crisis," Working Paper Research 232, National Bank of Belgium.
- Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2016.
"The European sovereign debt crisis: What have we learned?,"
Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 363-373.
- Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2017. "The European sovereign debt crisis: What have we learned?," CFS Working Paper Series 567, Center for Financial Studies (CFS).
- Moratis, Georgios & Sakellaris, Plutarchos, 2021.
"Measuring the systemic importance of banks,"
Journal of Financial Stability, Elsevier, vol. 54(C).
- Georgios Moratis & Plutarchos Sakellaris, 2017. "Measuring the systemic importance of banks," Working Papers 240, Bank of Greece.
- Alter, Adrian & Beyer, Andreas, 2014.
"The dynamics of spillover effects during the European sovereign debt turmoil,"
Journal of Banking & Finance, Elsevier, vol. 42(C), pages 134-153.
- Alter, Adrian & Beyer, Andreas, 2012. "The dynamics of spillover effects during the European sovereign debt turmoil," CFS Working Paper Series 2012/13, Center for Financial Studies (CFS).
More about this item
Keywords
Financial crisis; Debt crisis; Financial–sovereign linkages; Credit risk transmission; Network modeling;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finmar:v:42:y:2019:i:c:p:121-142. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/finmar .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.