Tail event-based sovereign credit risk transmission network during COVID-19 pandemic

This paper investigates the interconnectedness between sovereign credit risk based on the tail event and network dynamics technique. Specifically, we examine the interdependence in upper tails of sovereign credit default swap in the case of fifteen most COVID-19 affected countries. Empirical finding...

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Detalles Bibliográficos
Autores principales: Naifar, Nader, Shahzad, Syed Jawad Hussain
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8856891/
https://www.ncbi.nlm.nih.gov/pubmed/35221820
http://dx.doi.org/10.1016/j.frl.2021.102182
Descripción
Sumario:This paper investigates the interconnectedness between sovereign credit risk based on the tail event and network dynamics technique. Specifically, we examine the interdependence in upper tails of sovereign credit default swap in the case of fifteen most COVID-19 affected countries. Empirical findings indicate that connectedness among SCDS spreads changed over time and is higher during the COVID19 outbreak. Russia, Brazil, and China are the most credit risk emitter and receiver during the COVID-19 pandemic.

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