Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/193585
Authors: 
Gross, Christian
Siklos, Pierre
Year of Publication: 
2018
Series/Report no.: 
ESRB Working Paper Series 78
Abstract: 
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions are located in the center and non-financial as well as sovereign CDS are grouped around the financial center. The network has a geographical component reflected in differences in the magnitude and direction of real-sector risk transmission across European countries. While risk transmission to the non-financial sector increases during crisis events, risk transmission within the non-financial sector remains largely unchanged.
Subjects: 
networks
financial-real linkages
connectedness
systemic risk
credit risk
contagion
JEL: 
C01
C32
G01
G15
Persistent Identifier of the first edition: 
ISBN: 
978-92-9472-045-0
Document Type: 
Working Paper
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