Analysing interconnectivity among economies

► This paper studies contagion risk by analysing interconnectivity among economies. ► It uses sovereign credit default swap (CDS) spreads of 11 Asia Pacific economies. ► Complex multilateral relationships are disentangled into simple bilateral linkages. ► CoVaR is the VaR of a country conditional upon the VaR of another country. ► Conditional sovereign risks of all economies are found to be significantly higher.