Sovereign public debt crisis in Europe. A network analysis

Gómez, David Matesanz; Ortega, Guillermo J.

doi:10.1016/j.physa.2015.05.052

Cited by 17 publications

(9 citation statements)

References 37 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Based on the trees thus obtained ( = 1 … ) we determine the time series of the following topological network indicators: It should be mentioned that in the literature the minimum spanning trees that evolve in time are also monitored by many other topological network indicators such as the Eigenvector Centrality (Tang et al 2018), MOL (Mean Occupation Layer) (Onnela et al 2002(Onnela et al , 2003, Normalized Tree Length (Onnela et al 2003), Tree Half-life (Onnela et al 2003); Survival Ratio of the edges (Onnela et al 2002, Sensoy andTabak 2014); and Agglomerative Coefficient (Matesanz and Ortega 2015).…”

Section: Methodsmentioning

confidence: 99%

A Tail Dependence-Based MST and Their Topological Indicators in Modeling Systemic Risk in the European Insurance Sector

Denkowska¹,

Wanat²

2020

Risks

View full text Add to dashboard Cite

In the present work we analyse the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis we assume that the stock quotations of insurance companies reflect market sentiments which constitute a very important systemic risk factor. Interlinkages between insurers and their dynamics have a direct impact on systemic risk contagion in the insurance sector. We propose herein a new hybrid approach to the analysis of interlinkages dynamics based on combining the copula-DCC-GARCH model and Minimum Spanning Trees (MST). Using the copula-DCC-GARCH model we determine the tail dependence coefficients. Then, for each analysed period we construct MST based on these coefficients. The dynamics is analysed by means of time series of selected topological indicators of the MSTs in the years 2005-2019. Our empirical results show the usefulness of the proposed approach to the analysis of systemic risk in the insurance sector. The times series obtained from the proposed hybrid approach reflect the phenomena occurring on the market. The analysed MST topological indicators can be considered as systemic risk predictors.

show abstract

Section: Methodsmentioning

confidence: 99%

A Tail Dependence-Based MST and Their Topological Indicators in Modeling Systemic Risk in the European Insurance Sector

Denkowska¹,

Wanat²

2020

Risks

View full text Add to dashboard Cite

show abstract

“…The propagation of risks and the complex nature of external and internal events to a local stock market require a thorough study of the stock correlation networks and their structural dynamics. Introduced by Mantegna [ 2 ], the correlation-based networks are widely used in the financial network literature to quantify the impact of various crisis events [ 3 , 4 , 5 , 6 , 7 , 8 , 9 , 10 , 11 ]. An extension of the Minimum spanning tree (MST) method for the correlation network was later on presented by Tumminello et al [ 12 ], known as planar maximally filtered graph (PMFG), and Boginski et al [ 13 ] formed a correlation threshold (CT) network.…”

Section: Introductionmentioning

confidence: 99%

Structural Change and Dynamics of Pakistan Stock Market during Crisis: A Complex Network Perspective

Memon

Yao

2019

Entropy

View full text Add to dashboard Cite

We studied the cross-correlations in the daily closing prices of 181 stocks listed on the Pakistan stock exchange (PSX) covering a time period of 2007–2017 to compute the threshold networks and minimum spanning trees. In addition to the full sample analysis, our study uses three subsamples to examine the structural change and topological evolution before, during, and after the global financial crisis of 2008. We also apply Shannon entropy on the overall sample to measure the volatility of individual stocks. Our results find substantial clustering and a crisis-like less stable overall market structure, given the external and internal events of terrorism, political, financial, and economic crisis for Pakistan. The subsample results further reveal hierarchal scale-free structures and a reconfigured metastable market structure during a postcrisis period. In addition, time varying topological measures confirm the evidence of the presence of several star-like structures, the shrinkage of tree length due to crisis-related shocks, and an expansion in the recovery phase. Finally, changes of the central node of minimum spanning trees (MSTs), the volatile stock recognition using Shannon entropy, and the topology of threshold networks will help local and international investors of Pakistan Stock Exchange limited (PSX) to manage their portfolios or regulators to monitor the important nodes to achieve stability and to predict an upcoming crisis.

show abstract

“…Recent empirical literature supports a negative impact of public debt on economic growth in both developed and emerging markets [1,2,3,4]. Indeed, poorly managed public debt has been an important factor in inducing and propagating recent economic crises [5,6].…”

Section: Introductionmentioning

confidence: 99%

Is the public sector of your country a diffusion borrower? Empirical evidence from Brazil

Rocha¹,

Rocha

Souza³

2017

PLoS ONE

View full text Add to dashboard Cite

We propose a diffusion process to describe the global dynamic evolution of credit operations at a national level given observed operations at a subnational level in a sovereign country. Empirical analysis with a unique dataset from Brazilian federate constituents supports the conclusions. Despite the heterogeneity observed in credit operations at a subnational level, the aggregated dynamics at a national level were accurately described by the proposed model. Results may guide management of public finances, particularly debt manager authorities in charge of reaching surplus targets.

show abstract

Sovereign public debt crisis in Europe. A network analysis

Cited by 17 publications

References 37 publications

A Tail Dependence-Based MST and Their Topological Indicators in Modeling Systemic Risk in the European Insurance Sector

A Tail Dependence-Based MST and Their Topological Indicators in Modeling Systemic Risk in the European Insurance Sector

Structural Change and Dynamics of Pakistan Stock Market during Crisis: A Complex Network Perspective

Is the public sector of your country a diffusion borrower? Empirical evidence from Brazil

Contact Info

Product

Resources

About