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

Peter Martey Addo

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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 (search for similar items in EconPapers)
JEL-codes: C40 E50 G01 G18 G21 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2015-04
New Economics Papers: this item is included in nep-cfn, nep-eec and nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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ftp://mse.univ-paris1.fr/pub/mse/CES2015/15035.pdf (application/pdf)

Related works:
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:mse:cesdoc:15035

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