Connectedness between US industry level credit markets and determinants

Syed Jawad Hussain Shahzad*, Ghulam Mujtaba Kayani, Syed Ali Raza, Nida Shah, Khamis H. Al-Yahyaee

*المؤلف المقابل لهذا العمل

نتاج البحث: المساهمة في مجلةArticleمراجعة النظراء

11 اقتباسات (Scopus)

ملخص

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.

اللغة الأصليةEnglish
الصفحات (من إلى)874-886
عدد الصفحات13
دوريةPhysica A: Statistical Mechanics and its Applications
مستوى الصوت491
المعرِّفات الرقمية للأشياء
حالة النشرPublished - فبراير 1 2018

ASJC Scopus subject areas

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