TY - JOUR
T1 - Connectedness between US industry level credit markets and determinants
AU - Shahzad, Syed Jawad Hussain
AU - Kayani, Ghulam Mujtaba
AU - Raza, Syed Ali
AU - Shah, Nida
AU - Al-Yahyaee, Khamis H.
N1 - Publisher Copyright:
© 2017 Elsevier B.V.
PY - 2018/2/1
Y1 - 2018/2/1
N2 - We examine the connectedness between US industry-level credit markets, using both Credit Default Spread (CDS) changes and volatilities, over the period from December 17, 2007, to November 13, 2015. The total, net directional and pairwise spillovers are estimated based on the generalized VAR framework developed by Diebold and Yilmaz (2012). The empirical analysis shows strong interactions for CDS spread change and volatility among all ten industries. Consumer Services and Basic Materials are the significant risk transmitters. Economic policy uncertainty and different market volatilities significantly determine credit market risk spillovers which also increase during market turbulence situations indicating a possible contagion effect. Implications of the findings are discussed.
AB - We examine the connectedness between US industry-level credit markets, using both Credit Default Spread (CDS) changes and volatilities, over the period from December 17, 2007, to November 13, 2015. The total, net directional and pairwise spillovers are estimated based on the generalized VAR framework developed by Diebold and Yilmaz (2012). The empirical analysis shows strong interactions for CDS spread change and volatility among all ten industries. Consumer Services and Basic Materials are the significant risk transmitters. Economic policy uncertainty and different market volatilities significantly determine credit market risk spillovers which also increase during market turbulence situations indicating a possible contagion effect. Implications of the findings are discussed.
KW - Credit default swaps
KW - Network connectedness
KW - Spillover index approach
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U2 - 10.1016/j.physa.2017.09.060
DO - 10.1016/j.physa.2017.09.060
M3 - Article
AN - SCOPUS:85031757114
SN - 0378-4371
VL - 491
SP - 874
EP - 886
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
ER -