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Spillovers among sovereign debt markets: Identification through absolute magnitude restrictions

Citations

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Cited by:

  1. Huang, Wei-Qiang & Liu, Peipei & Zhu, Yao-Long, 2025. "International extreme sovereign risk connectedness: Network structure and roles," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
  2. Timo Bettendorf & Reinhold Heinlein, 2023. "Connectedness between G10 currencies: Searching for the causal structure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3938-3959, October.
  3. Antonakakis, Nikolaos & Gabauer, David & Gupta, Rangan, 2019. "Greek economic policy uncertainty: Does it matter for Europe? Evidence from a dynamic connectedness decomposition approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
  4. Barra, Cristian & Ruggiero, Nazzareno, 2021. "Do microeconomic and macroeconomic factors influence Italian bank credit risk in different local markets? Evidence from cooperative and non-cooperative banks," Journal of Economics and Business, Elsevier, vol. 114(C).
  5. Christiane Baumeister & James D. Hamilton, 2020. "Advances in Using Vector Autoregressions to Estimate Structural Magnitudes," NBER Working Papers 27014, National Bureau of Economic Research, Inc.
  6. Federico Di Pace & Luciana Juvenal & Ivan Petrella, 2025. "Terms-of-Trade Shocks Are Not All Alike," American Economic Journal: Macroeconomics, American Economic Association, vol. 17(2), pages 24-64, April.
  7. Noureddine Benlagha & Wael Hemrit, 2022. "Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 1-21, January.
  8. Tarek Chebbi & Bruno S. Sergi & Salem Hamad Aldawsari, 2026. "Spread the foreign redenomination risk to default premia: dynamic frequency connectedness analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 12(1), pages 1-40, December.
  9. De Santis, Roberto A. & Zimic, Srečko, 2022. "Interest rates and foreign spillovers," European Economic Review, Elsevier, vol. 144(C).
  10. Clancy, Daragh & Gabriele, Carmine & Žigraiová, Diana, 2022. "Sovereign bond market spillovers from crisis-time developments in Greece," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  11. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
  12. Rünstler, Gerhard & Bräuer, Leonie, 2020. "Monetary policy transmission over the leverage cycle: evidence for the euro area," Working Paper Series 2421, European Central Bank.
  13. Baumeister, Christiane & Hamilton, James, 2020. "Advances in Structural Vector Autoregressions with Imperfect Identifying Information," CEPR Discussion Papers 14603, C.E.P.R. Discussion Papers.
  14. Nikolaos Antonakakis & David Gabauer & Rangan Gupta, 2018. "Greek Economic Policy Uncertainty: Does it Matter for the European Union?," Working Papers 201840, University of Pretoria, Department of Economics.
  15. Julio Gálvez, 2021. "Measuring interconnectedness across institutions and sectors," Revista de Estabilidad Financiera, Banco de España, issue Otoño.
  16. Borri, Nicola, 2019. "Redenomination-risk spillovers in the Eurozone," Economics Letters, Elsevier, vol. 174(C), pages 173-178.
  17. Dragomirescu-Gaina, Catalin, 2021. "Facing an unfortunate trade-off: policy responses, lessons and spill-overs during the COVID-19 pandemic," Economics & Human Biology, Elsevier, vol. 43(C).
  18. Bacchiocchi, Emanuele & Dragomirescu-Gaina, Catalin, 2024. "Uncertainty spill-overs: When policy and financial realms overlap," Journal of International Money and Finance, Elsevier, vol. 143(C).
  19. Cipollini, Andrea & Mikaliunaite, Ieva, 2020. "Macro-uncertainty and financial stress spillovers in the Eurozone," Economic Modelling, Elsevier, vol. 89(C), pages 546-558.
  20. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019. "Effectiveness of policy and regulation in European sovereign credit risk markets: A network analysis," Working Paper Series in Economics 125, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  21. Battistini, Niccolò & Neves, Pedro, 2026. "What drives business expectations? A tale of demand and supply," Working Paper Series 3179, European Central Bank.
  22. Liu, Peipei & Huang, Wei-Qiang, 2022. "Modelling international sovereign risk information spillovers: A multilayer network approach," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  23. Neharika Sobti, 2018. "Domestic intermarket linkages: measuring dynamic return and volatility connectedness among Indian financial markets," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(4), pages 325-344, December.
  24. Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021. "Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission," Working Papers hal-03338209, HAL.
  25. Wu, Shan & Liu, Yilong & Song, Ziyu & Zhou, Yuqin & Guo, Wenjing, 2024. "Network structure, dynamic evolution and block characteristics of sovereign debt risk: The global evidence," Research in International Business and Finance, Elsevier, vol. 72(PA).
  26. Badics, Milan Csaba & Huszar, Zsuzsa R. & Kotro, Balazs B., 2023. "The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  27. Anh Vo, Thi Thuy & Joseph, Nathan Lael, 2025. "Institutional mechanisms, ownership and bank risk-taking during crises," The British Accounting Review, Elsevier, vol. 57(3).
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