Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches
Syed Jawad Hussain Shahzad (),
Safwan Mohd Nor,
Ronald Kumar () and
Physica A: Statistical Mechanics and its Applications, 2017, vol. 466, issue C, 310-324
This study examines the interdependence and contagion among US industry-level credit markets. We use daily data of 11 industries from 17 December 2007 to 31 December 2014 for the time–frequency, namely, wavelet squared coherence analysis. The empirical analysis reveals that Basic Materials (Utilities) industry credit market has the highest (lowest) interdependence with other industries. Basic Materials credit market passes cyclical effect to all other industries. The little “shift-contagion” as defined by Forbes and Rigobon (2002) is examined using elliptical and Archimedean copulas on the short-run decomposed series obtained through Variational Mode Decomposition (VMD). The contagion effects between US industry-level credit markets mainly occurred during the global financial crisis of 2007–08.
Keywords: Credit default swap; Contagion; Wavelet squared coherence; Variational mode decomposition; Copula (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:466:y:2017:i:c:p:310-324
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().