Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7376571 | Physica A: Statistical Mechanics and its Applications | 2018 | 31 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Syed Jawad Hussain Shahzad, Ghulam Mujtaba Kayani, Syed Ali Raza, Nida Shah, Khamis H. Al-Yahyaee,