新冠疫情期间基于尾部事件的主权信用风险传导网络
Tail event-based sovereign credit risk transmission network during COVID-19 pandemic.
作者信息
Naifar Nader, Shahzad Syed Jawad Hussain
机构信息
Imam Mohammad Ibn Saud Islamic University (IMSIU), Riyadh, Saudi Arabia.
University of Sfax, Higher School of Business Administration, Sfax, Tunisia.
出版信息
Financ Res Lett. 2022 Mar;45:102182. doi: 10.1016/j.frl.2021.102182. Epub 2021 May 30.
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.
本文基于尾部事件和网络动力学技术研究主权信用风险之间的相互联系。具体而言，我们考察了15个受新冠疫情影响最严重国家的主权信用违约互换（SCDS）上尾的相互依存关系。实证结果表明，SCDS利差之间的关联性随时间变化，且在新冠疫情爆发期间更高。俄罗斯、巴西和中国是新冠疫情大流行期间信用风险的最大发出者和接收者。
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