 The changing international network of sovereign debt and financial institutionsMardi Dungey, John Harvey and Vladimir Volkov Journal of International Financial Markets, Institutions and Money, 2019, vol. 60, issue C, 149-168 Abstract: We assess the changing nature of the relationships between financial institutions and sovereigns globally using a weighted, directed network of CDS spreads. The framework includes both the strength and direction of the links in the network, allowing us to formally test for evidence on changes in the completeness of the network, for contagion effects, and for strengthening and weakening of the links in the network. We find evidence of all of these effects for 107 US dollar denominated CDS spreads over 2003–2014. We use the results to illustrate the change from a relatively robust network with some vulnerability to financial sector shocks in the pre-GFC period to a highly fragile network during the GFC and a subsequent return to greater robustness post-GFC where, despite the Greek and European debt crisis effects, fragility is similar when sourced from either financial sector or sovereign debt shocks. Keywords: Network; Sovereign debt; Financial institutions; Systemic risk; Contagion (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:intfin:v:60:y:2019:i:c:p:149-168 DOI: 10.1016/j.intfin.2018.12.013 Access Statistics for this article Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely More articles in Journal of International Financial Markets, Institutions and Money from Elsevier |
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