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2015-04-07Diskussionspapier DOI: 10.18452/4576
Measuring Connectedness of Euro Area Sovereign Risk
dc.contributor.authorGätjen, Rebekka
dc.contributor.authorSchienle, Melanie
dc.date.accessioned2017-06-16T01:13:59Z
dc.date.available2017-06-16T01:13:59Z
dc.date.created2015-06-18
dc.date.issued2015-04-07
dc.date.submitted2015-04-07
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5228
dc.description.abstractWe introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those based on in-sample methods. The resulting relative and absolute connectedness measures find distinct and complementary information from CDS and bond yield data on European area sovereign risk. The detection and use of these second moment differences of CDS and bond data is new to the literature and allows to identify countries that impose risk on the system from those which sustain risk.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectconnectednesseng
dc.subjectSovereign risk measurementeng
dc.subjectvariance decompositioneng
dc.subjectCDS and bond spreadseng
dc.subjectfinancial and eurozone crisiseng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleMeasuring Connectedness of Euro Area Sovereign Risk
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100230882
dc.identifier.doihttp://dx.doi.org/10.18452/4576
local.edoc.pages29
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2015
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2015,19

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