Effectiveness of policy and regulation in European sovereign credit risk markets - A network analysis

dc.contributor.authorBuse, Rebekka
dc.contributor.authorSchienle, Melanie
dc.contributor.authorUrban, Jörg
dc.date.accessioned2024-06-04T08:24:22Z
dc.date.available2024-06-04T08:24:22Z
dc.date.issued2019
dc.description.abstractWe study the impact of changes in regulations and policy interventions on systemic risk among European sovereign entities measured as volatility spillovers in respective credit risk markets. Our unique intraday CDS dataset allows for precise measurement of the effectiveness of these events in a network setting. In particular, it allows discerning interventions which entail significant changes in network cross-effects with appropriate bootstrap confidence intervals. We show that it was mainly regulatory changes with the ban of trading naked sovereign CDS in 2012 as well as the new ISDA regulations in 2014 which were most effective in reducing systemic risk. In comparison, we find that the effect of policy interventions was minor and generally not sustainable. In particular, they only had a significant impact when implemented for the first time and when targeting more than one country. For the volatility spillover channels, we generally find balanced networks with no fragmentation over time.
dc.identifier.doi10.5445/IR/1000092476
dc.identifier.urihttps://irf.fhnw.ch/handle/11654/42643
dc.identifier.urihttps://doi.org/10.26041/fhnw-6608
dc.language.isoen
dc.publisherKarlsruher Institut für Technologie (KIT)
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.spatialKarlsruhe
dc.subject.ddc330 - Wirtschaft
dc.titleEffectiveness of policy and regulation in European sovereign credit risk markets - A network analysis
dc.type05 - Forschungs- oder Arbeitsbericht
dspace.entity.typePublication
fhnw.InventedHereYes
fhnw.ReviewTypeNo peer review
fhnw.affiliation.hochschuleHochschule für Wirtschaft FHNWde_CH
fhnw.affiliation.institutInstitut für Finanzmanagementde_CH
fhnw.pagination
fhnw.publicationStatePublished
relation.isAuthorOfPublicationfeda9442-5744-4760-98bf-8e00152f8bde
relation.isAuthorOfPublication.latestForDiscoveryfeda9442-5744-4760-98bf-8e00152f8bde
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