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• W3124339043 abstract "We develop an empirical network model to study bilateral sovereign credit risk spillovers during the European debt crisis. We show that the spillover density is typically asymmetric with heavy tails. This confounds efforts to track time-variation in spillover activity using the mean-based summary statistics that are widespread in the literature. Density-based measures — specifically divergence criteria — yield stronger and timelier signals of changes in spillover activity than mean-based measures. This is particularly apparent for sovereign bailouts, which principally affect the tails of the spillover density. Consequently, density-based measures provide valuable additional information about changes in the credit risk environment." @default.
• W3124339043 created "2021-02-01" @default.
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• W3124339043 date "2017-01-01" @default.
• W3124339043 modified "2023-10-06" @default.
• W3124339043 title "What's Mine Is Yours: Sovereign Risk Transmission during the European Debt Crisis" @default.
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• W3124339043 doi "https://doi.org/10.2139/ssrn.3002280" @default.
• W3124339043 hasPublicationYear "2017" @default.
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