Article ID Journal Published Year Pages File Type
7376571 Physica A: Statistical Mechanics and its Applications 2018 31 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
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