{"id":"https://openalex.org/W308262913","doi":null,"title":"Spillovers and Contagion in the Sovereign CDS Market","display_name":"Spillovers and Contagion in the Sovereign CDS Market","publication_year":2013,"publication_date":"2013-01-01","ids":{"openalex":"https://openalex.org/W308262913","mag":"308262913"},"language":"en","primary_location":{"id":"pmh:oai:RePEc:nbp:nbpbik:v:44:y:2013:i:6:p:571-604","doi":null,"is_oa":false,"landing_page_url":"https://bankikredyt.nbp.pl/content/2013/06/bik_06_2013_01_art.pdf","pdf_url":"https://bankikredyt.nbp.pl/content/2013/06/bik_06_2013_01_art.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5067808170","display_name":"Micha\u0142 Adam","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I90656587","display_name":"National Bank of Poland","ror":"https://ror.org/00tystp70","country_code":"PL","type":"other","lineage":["https://openalex.org/I90656587"]}],"countries":["PL"],"is_corresponding":true,"raw_author_name":"Micha\u0142 Adam","raw_affiliation_strings":["Narodowy Bank Polski"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Narodowy Bank Polski","institution_ids":["https://openalex.org/I90656587"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5067808170"],"corresponding_institution_ids":["https://openalex.org/I90656587"],"apc_list":null,"apc_paid":null,"fwci":4.4046,"has_fulltext":false,"cited_by_count":11,"citation_normalized_percentile":{"value":0.93997348,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"44","issue":"6","first_page":"571","last_page":"604"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.8906000256538391,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.8906000256538391,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10503","display_name":"Global Financial Crisis and Policies","score":0.08810000121593475,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.016499999910593033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/sovereign-credit-default-swaps","display_name":"sovereign credit default swaps","score":0.9940000176429749},{"id":"https://openalex.org/keywords/spillover-effects","display_name":"spillover effects","score":0.6779999732971191},{"id":"https://openalex.org/keywords/financial-contagion","display_name":"financial contagion","score":0.8809999823570251},{"id":"https://openalex.org/keywords/sovereign-debt-crisis","display_name":"sovereign debt crisis","score":0.9660000205039978},{"id":"https://openalex.org/keywords/credit-spreads","display_name":"credit spreads","score":0.972000002861023},{"id":"https://openalex.org/keywords/forecast-error-variance-decomposition","display_name":"forecast error variance decomposition","score":0.847000002861023},{"id":"https://openalex.org/keywords/regional-spillovers","display_name":"regional spillovers","score":0.7279999852180481},{"id":"https://openalex.org/keywords/liquidity","display_name":"liquidity","score":0.5350000262260437},{"id":"https://openalex.org/keywords/emerging-markets","display_name":"emerging markets","score":0.5789999961853027},{"id":"https://openalex.org/keywords/developed-countries","display_name":"developed countries","score":0.8330000042915344},{"id":"https://openalex.org/keywords/market-interdependence","display_name":"market interdependence","score":0.5609999895095825}],"concepts":[{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.7430906295776367},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.6241740584373474},{"id":"https://openalex.org/C186229450","wikidata":"https://www.wikidata.org/wiki/Q42008","display_name":"Sovereignty","level":3,"score":0.5714835524559021},{"id":"https://openalex.org/C121087249","wikidata":"https://www.wikidata.org/wiki/Q546395","display_name":"Emerging markets","level":2,"score":0.5504667162895203},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5261313915252686},{"id":"https://openalex.org/C2777174672","wikidata":"https://www.wikidata.org/wiki/Q7571616","display_name":"Sovereign credit","level":4,"score":0.5185428261756897},{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.5166866779327393},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.4711034893989563},{"id":"https://openalex.org/C2994482091","wikidata":"https://www.wikidata.org/wiki/Q12695","display_name":"Sovereign debt","level":4,"score":0.4334167540073395},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.4320067763328552},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.3503432273864746},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.342816025018692},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.131192147731781},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:RePEc:nbp:nbpbik:v:44:y:2013:i:6:p:571-604","doi":null,"is_oa":false,"landing_page_url":"https://bankikredyt.nbp.pl/content/2013/06/bik_06_2013_01_art.pdf","pdf_url":"https://bankikredyt.nbp.pl/content/2013/06/bik_06_2013_01_art.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"mag:308262913","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:nbp:nbpbik:v:44:y:2013:i:6:p:571-604","pdf_url":null,"source":{"id":"https://openalex.org/S4306504014","display_name":"Bank i Kredyt","issn_l":"0137-5520","issn":["0137-5520"],"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":["anvur-scientific","jufo-1","poland-70","russia-white-list-4"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Bank i Kredyt","raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":45,"referenced_works":["https://openalex.org/W116609143","https://openalex.org/W1527465931","https://openalex.org/W1529435215","https://openalex.org/W1542349019","https://openalex.org/W1554708561","https://openalex.org/W1557907897","https://openalex.org/W1571438983","https://openalex.org/W1916345114","https://openalex.org/W1975226499","https://openalex.org/W1990331438","https://openalex.org/W1995366885","https://openalex.org/W2000901330","https://openalex.org/W2003602850","https://openalex.org/W2006186777","https://openalex.org/W2017303147","https://openalex.org/W2039734130","https://openalex.org/W2050815921","https://openalex.org/W2052902288","https://openalex.org/W2058286130","https://openalex.org/W2091358667","https://openalex.org/W2099125788","https://openalex.org/W2099366283","https://openalex.org/W2124556906","https://openalex.org/W2127893871","https://openalex.org/W2133045242","https://openalex.org/W2165714389","https://openalex.org/W2166422272","https://openalex.org/W2176678516","https://openalex.org/W2219194550","https://openalex.org/W2890067203","https://openalex.org/W2890231723","https://openalex.org/W3021709961","https://openalex.org/W3121365692","https://openalex.org/W3121630491","https://openalex.org/W3121813836","https://openalex.org/W3121837409","https://openalex.org/W3122186884","https://openalex.org/W3122362158","https://openalex.org/W3122872482","https://openalex.org/W3122966955","https://openalex.org/W3123148453","https://openalex.org/W3123886778","https://openalex.org/W3124237411","https://openalex.org/W3124908192","https://openalex.org/W4312286431"],"related_works":["https://openalex.org/W2747455743","https://openalex.org/W4409574794","https://openalex.org/W1506019521","https://openalex.org/W2921244660","https://openalex.org/W1989896362","https://openalex.org/W3170280379","https://openalex.org/W4254808016","https://openalex.org/W1916080458","https://openalex.org/W4231907970","https://openalex.org/W2291734651"],"abstract_inverted_index":{"This":[0],"paper":[1],"focuses":[2],"on":[3,32,127],"the":[4,22,33,85,120,128],"relationship":[5],"between":[6,53],"sovereign":[7,24],"credit":[8,55,125],"default":[9],"swaps":[10],"(SCDS)":[11],"referencing":[12],"a":[13,37,49,66,98,123],"group":[14],"of":[15,40,59,84,89,122],"selected":[16],"developed":[17],"and":[18,28],"emerging":[19],"economies":[20],"during":[21],"recent":[23],"debt":[25],"crisis.":[26],"Interdependence":[27],"contagion":[29,104],"are":[30,76],"found":[31],"market":[34],"dominated":[35],"by":[36,140],"small":[38],"number":[39],"big":[41],"international":[42],"participants.":[43],"The":[44],"results":[45],"show":[46],"that:":[47],"(i)":[48],"strong":[50],"commonality":[51],"exists":[52],"global":[54],"spreads":[56,91],"(almost":[57],"half":[58],"their":[60],"variance":[61,88],"can":[62],"be":[63,132],"attributed":[64],"to":[65,82,116,131,136],"single":[67],"component)":[68],"with":[69,103],"important":[70],"regional":[71],"resemblances,":[72],"(ii)":[73],"intra-regional":[74],"spillovers":[75],"even":[77],"more":[78],"significant,":[79],"as":[80,112],"up":[81],"80%":[83],"forecast":[86],"error":[87],"SCDS":[90],"comes":[92],"from":[93,105],"spillovers,":[94,102],"(iii)":[95],"there":[96],"is":[97,138],"significant":[99],"time-variation":[100],"in":[101],"distressed":[106],"countries":[107],"gradually":[108],"diminishing":[109],"over":[110],"time":[111],"they":[113],"lose":[114],"access":[115],"bond":[117],"markets,":[118],"(iv)":[119],"impact":[121],"country\u2019s":[124],"spread":[126],"system":[129],"appears":[130],"largely":[133],"liquidity-driven":[134],"(up":[135],"67%":[137],"explained":[139],"various":[141],"liquidity":[142],"measures).":[143]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
