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Sovereign risk spillovers: A network approach
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Sovereign risk spillovers: A network approach (2022)Sovereign risk spillovers: A network appr…TENET: Tail-Event driven NETwork risk (2016)TENET: Tail-Event driven NETw…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…CoVaR (2016)CoVaRFilling in the blanks: network structure and interbank contagion (2014)Filling in the blanks: networ…The effect of the interbank network structure on contagion and common shocks (2013)The effect of the interbank n…Systemic sovereign credit risk: Lessons from the U.S. and Europe (2013)Systemic sovereign credit ris…Sovereign Default, Domestic Banks, and Financial Institutions (2013)Sovereign Default, Domestic B…What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk (2012)What is the risk of European …The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2012)The Dynamics of Spillover Eff…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk (2012)‘Too interconnected to fail’ …Correlation based networks of equity returns sampled at different time horizons (2006)Correlation based networks of…International Financial Contagion (2001)International Financial Conta…On crises, contagion, and confusion (2000)On crises, contagion, and con…Financial Contagion (2000)Financial ContagionMacroeconomics and Reality (1980)Macroeconomics and RealityThe impact and the contagion effect of natural disasters on sovereign credit risk. An empirical investigation (2023)The impact and the contagion …Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network (2022)Multidimensional risk spillov…Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Financial Intermediation and Credit Policy in Business Cycle Analysis (2010)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)An analysis of the literature on systemic financial risk: A survey (2016)Interconnectedness and systemic risk of China's financial institutions (2017)Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions (2021)Bank Runs, Deposit Insurance, and Liquidity (1983)Models of Currency Crises with Self-Fulfilling Features (1995)How Sovereign Is Sovereign Credit Risk? (2011)Bank/sovereign risk spillovers in the European debt crisis (2013)Credit Default Swaps: A Survey (2014)The Transmission of Federal Reserve Tapering News to Emerging Financial Markets (2014)Financial Intermediation and Delegated Monitoring (1984)Law and Finance (1998)The Colonial Origins of Comparative Development: An Empirical Investigation (2001)A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2011)The Pass-Through of Sovereign Risk (2016)Deadly Embrace: Sovereign and Financial Balance Sheets Doom Loops (2017)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)A Rational Expectations Model of Financial Contagion (2002)A New Approach to Measuring Financial Contagion (2003)Introduction: The International Diffusion of Liberalism (2006)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)Measuring Systemic Risk (2016)SRISK: A conditional capital shortfall measure of systemic risk (2017)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)Measuring Uncertainty (2015)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)A Monetary History of the United States 1867-1960 (1964)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Systemic Risk and Stability in Financial Networks (2015)A Decomposition of Global Linkages in Financial Markets Over Time (2004)Economic growth in the 1990s: learning from a decade of reform (2005)News spillovers in the sovereign debt market (2005)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2000Financial Contagion3,393 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2016CoVaR2,395 cited
  • 2000On crises, contagion, and confusion1,270 cited
  • 2013Sovereign Default, Domestic Banks, and Financial Institutions543 cited
  • 2001International Financial Contagion487 cited
  • 2016TENET: Tail-Event driven NETwork risk472 cited
  • 2012What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk422 cited
  • 2013The effect of the interbank network structure on contagion and common shocks383 cited
  • 2012The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil378 cited
  • 2013Systemic sovereign credit risk: Lessons from the U.S. and Europe373 cited
  • 2012‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk309 cited
  • 2014Filling in the blanks: network structure and interbank contagion236 cited
  • 2006

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Correlation based networks of equity returns sampled at different time horizons
236 cited

Cited by

  • 2022Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network87 cited
  • 2023The impact and the contagion effect of natural disasters on sovereign credit risk. An empirical investigation34 cited