The changing international network of sovereign debt and financial institutions

@inproceedings{Dungey2019TheCI,
  title={The changing international network of sovereign debt and financial institutions},
  author={Mardi H. Dungey and John Harvey and Vladimir Volkov},
  year={2019}
}
We develop a theoretical and empirical framework for the connections between global financial and sovereign CDS markets. The transmission of shocks is shown to affect the systemic default probability of the international network. The network is found to be "robust but fragile", meaning that a shock can result in the propagation of crises. Between 2003 and 2013, the probability of default in the network in the face of potentially poor investment outcomes and/or sovereign bond haircuts changes… CONTINUE READING

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