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
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author Naifar, Nader
Shahzad, Syed Jawad Hussain
author_facet Naifar, Nader
Shahzad, Syed Jawad Hussain
author_sort Naifar, Nader
collection PubMed
description 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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spelling pubmed-88568912022-02-22 Tail event-based sovereign credit risk transmission network during COVID-19 pandemic Naifar, Nader Shahzad, Syed Jawad Hussain Financ Res Lett Article 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. Elsevier Inc. 2022-03 2021-05-30 /pmc/articles/PMC8856891/ /pubmed/35221820 http://dx.doi.org/10.1016/j.frl.2021.102182 Text en © 2021 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Naifar, Nader
Shahzad, Syed Jawad Hussain
Tail event-based sovereign credit risk transmission network during COVID-19 pandemic
title Tail event-based sovereign credit risk transmission network during COVID-19 pandemic
title_full Tail event-based sovereign credit risk transmission network during COVID-19 pandemic
title_fullStr Tail event-based sovereign credit risk transmission network during COVID-19 pandemic
title_full_unstemmed Tail event-based sovereign credit risk transmission network during COVID-19 pandemic
title_short Tail event-based sovereign credit risk transmission network during COVID-19 pandemic
title_sort tail event-based sovereign credit risk transmission network during covid-19 pandemic
topic Article
url 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
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