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The changing international network of sovereign debt and financial institutions


Dungey, M and Harvey, J and Volkov, V, The changing international network of sovereign debt and financial institutions, Journal of International Financial Markets, Institutions and Money, 60 pp. 149-168. ISSN 1042-4431 (2019) [Refereed Article]


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DOI: doi:10.1016/j.intfin.2018.12.013


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 20032014. 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.

Item Details

Item Type:Refereed Article
Keywords:network, sovereign debt, financial institutions, systemic risk, contagion
Research Division:Economics
Research Group:Applied economics
Research Field:Macroeconomics (incl. monetary and fiscal theory)
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Macroeconomics not elsewhere classified
UTAS Author:Dungey, M (Professor Mardi Dungey)
UTAS Author:Harvey, J (Mr John Harvey)
UTAS Author:Volkov, V (Mr Vladimir Volkov)
ID Code:133297
Year Published:2019 (online first 2018)
Web of Science® Times Cited:3
Deposited By:Economics and Finance
Deposited On:2019-06-21
Last Modified:2019-11-07

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