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David Dickinson | 经济与金融学名家论坛第102期

[发布日期]:2021-11-29  [浏览次数]:

一、主题:Sovereign Risk Spillovers: A Network Approach

二、主讲人:David Dickinson
David Dickinson,英国伯明翰大学经济学教授。曾任经济系主任、商学院院长和社会科学学院国际化主任。本科毕业于英国曼彻斯特大学,博士毕业于英国谢菲尔德大学。目前,他是绿色经济和可持续发展联合研究所的社会科学带头人。他的研究领域为银行和金融市场,在过去15年里他一直致力于研究中国问题。他出版了大量的专著,其学术论文也发表于Journal of Banking and Finance、Pacific-Basin Finance Journal、Journal of International Financial Markets, Institutions and Money等国际知名期刊。

三、时间:12月08日(周三)20:00-21:30
四、地点:腾讯会议 ID (998 607 194)
五、主持人:陶坤玉,国际金融系副教授
六、内容介绍:
Abstract:Understanding the global financial network for sovereign debt, particularly with a focus on interaction and spillover effects of sovereign risk, has become important for policy makers as they look to protect the stability of their economies. Using high dimensional Vector Autoregression techniques and network simulation, on Sovereign Credit Default Swaps (CDS)’ data of 57 countries, we identify that the global sovereign CDS network is fully integrated as there is virtually no country without any connection to at least one specific node in the system. However, each country has a unique attribute in the network, as a risk exporter or importer and/or risk transmitter. Among developed countries, the US (unsurprisingly) holds the dominant position as a risk exporter while Germany is identified as a connecting country that transmits shocks. The most connected countries in the sovereign CDS network belong to the new European Union members. We examine possible drivers of the network relationships observed, in order to better understand the risk transmission process, and find that connections in the sovereign risk network are stronger within regional groups and countries with the same level of economic development. Central and Eastern Europe and Middle East and Africa have more interactive networks than Northern Western Europe, Asia Pacific and Latin America. We also identify that financial volatility and economic policy uncertainty increase the interactions in market-based default risk assessment.

支持:中央财经大学引智项目

 

 



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