 Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?Rebekka Buse, Melanie Schienle and Jörg Urban Journal of International Economics, 2022, vol. 139, issue C Abstract: We study the impact of changes in regulations and policy interventions on systemic risk among European sovereign entities measured as volatility spillovers in credit risk markets. With our unique intraday CDS dataset, the effectiveness of closely subsequent events can be assessed, and interventions with significant changes in network cross-effects can be discerned by appropriate bootstrap confidence intervals. We show that it was mainly regulatory changes such as the ban of trading naked sovereign CDS in 2012 as well as the new ISDA regulations in 2014 which were most effective in reducing systemic risk. In comparison, the effect of policy interventions was minor and generally not sustainable. Their impact was only significant when they were implemented for the first time and targeted more than one country. For the volatility spillover channels, we generally find balanced networks with no fragmentation over time. Keywords: Financial crises; Policy and regulation; Financial stability and systemic risk in the Eurozone; High-frequency CDS; Bootstrap spillover-measures (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:inecon:v:139:y:2022:i:c:s0022199622001052 DOI: 10.1016/j.jinteco.2022.103673 Access Statistics for this article Journal of International Economics is currently edited by Gourinchas, Pierre-Olivier and RodrÃguez-Clare, Andrés More articles in Journal of International Economics from Elsevier |
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