Nothing Special   »   [go: up one dir, main page]

  EconPapers    
Economics at your fingertips  
 

Systemic risk in European sovereign debt markets: A CoVaR-copula approach

Juan Reboredo and Andrea Ugolini

Journal of International Money and Finance, 2015, vol. 51, issue C, 214-244

Abstract: We studied systemic risk in European sovereign debt markets before and after the onset of the Greek debt crisis, taking the conditional value-at-risk (CoVaR) as a systemic risk measure, characterized and computed using copulas. We found that, before the debt crisis, sovereign debt markets were all coupled and systemic risk was similar for all countries. However, with the onset of the Greek crisis, debt markets decoupled and the systemic risk of the countries in crisis (excepting Spain) for the European debt market as a whole decreased, whereas that of the non-crisis countries increased to a small degree. The systemic risk of the Greek debt market for other countries in difficulties increased, especially for Portugal where systemic risk tripled after the onset of the crisis, whereas the systemic impact on the non-crisis countries decreased.

Keywords: Value at risk; Conditional value at risk; Systemic risk; Copulas; Eurozone debt crisis (search for similar items in EconPapers)
JEL-codes: C58 G01 G23 G32 (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (137)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560614002162
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:51:y:2015:i:c:p:214-244

DOI: 10.1016/j.jimonfin.2014.12.002

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-01-07
Handle: RePEc:eee:jimfin:v:51:y:2015:i:c:p:214-244