Insights to the European debt crisis using recurrence quantification and network analysis

Peter Martey Addo

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: The turmoil in the sovereign debt markets in Europe has raised concerns on the usefulness of sovereign credit default swaps and government bond yields in periods of distress. In addressing this issue, we introduce a novel nonlinear approach for the analysis of non-stationary multivariate data based on complex networks and recurrence analysis. We show the relevance of the approach in studying joint risk connections, extracting hidden spatial information, time dependence, detection of regime changes and providing early warning indicators. The feasibility and relevance of the approach in studying systemic risk is discussed. Finally, we share more light on possible extensions and applications of the approach to systemic risk.

Keywords: Sovereign debt crisis; economic growth; recurrence networks; financial stability; systemic risk; crise de la dette souveraine; croissance économique; réseaux de récurrence; stabilité financière; risque systémique (search for similar items in EconPapers)
Date: 2015-04
New Economics Papers: this item is included in nep-eec
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01164025
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Citations: View citations in EconPapers (4)

Published in 2015

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Working Paper: Insights to the European debt crisis using recurrence quantification and network analysis (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-01164025

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