IDEAS home Printed from https://ideas.repec.org/a/eee/riibaf/v73y2025ipas0275531924003945.html
   My bibliography  Save this article

The Global Financial Cycle and country risk in emerging markets during stress episodes: A Copula-CoVaR approach

Author

Listed:
  • Melo-Velandia, Luis Fernando
  • Romero, José Vicente
  • Ramírez-González, Mahicol Stiben

Abstract

This paper investigates the tail-dependence structure of emerging market sovereign credit default swaps (CDS) and the Global Financial Cycle (GFC) across eleven emerging markets. Using Copula-CoVaR estimations, we find significant tail-dependence between the GFC, represented by the VIX Volatility Index, and emerging market CDS. These results are essential in the context of distressed global financial markets. Furthermore, our results help evaluate CDS dynamics and provide a more suitable metric to analyze sovereign risk beyond the traditional CoVaR. Moreover, we present additional evidence supporting the importance of the global financial cycle in sovereign risk dynamics in different episodes from 2004 to 2022.

Suggested Citation

  • Melo-Velandia, Luis Fernando & Romero, José Vicente & Ramírez-González, Mahicol Stiben, 2025. "The Global Financial Cycle and country risk in emerging markets during stress episodes: A Copula-CoVaR approach," Research in International Business and Finance, Elsevier, vol. 73(PA).
    • Handle: RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003945
    DOI: 10.1016/j.ribaf.2024.102601
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0275531924003945
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.ribaf.2024.102601?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Global financial cycle; Country risk; CDS; Copula-CoVaR;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003945. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ribaf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.