Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/119421 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2015-019
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those based on in-sample methods. The resulting relative and absolute connectedness measures find distinct and complementary information from CDS and bond yield data on European area sovereign risk. The detection and use of these second moment di erences of CDS and bond data is new to the literature and allows to identify countries that impose risk on the system from those which sustain risk.
Schlagwörter: 
sovereign risk measurement
variance decomposition
connectedness
CDS and bond spreads
financial and eurozone crisis
JEL: 
C32
C58
F34
G01
G18
Dokumentart: 
Working Paper

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