{"title":"Network structure, dynamic evolution and block characteristics of sovereign debt risk: The global evidence","authors":"","doi":"10.1016/j.ribaf.2024.102492","DOIUrl":null,"url":null,"abstract":"<div><p>Global sovereign debt risks are escalating with the tightening of global liquidity. We apply the LASSO-VAR spillover model, network approach and block model to analyze the overall situation and time-varying characteristics of sovereign risk volatility spillover effects among 50 countries. The results show that there is a discernible cyclical pattern in the spillover effect of global sovereign risk volatility, with the spillover intensity progressively rising in each cycle, and more countries have emerged as \"net risk exporters\" recently. Countries and regions exhibit diverse risk spillover traits, and assume varying roles in the transmission of sovereign debt risks. The originator of a sovereign risk shock isn't necessarily its primary disseminator, underscoring the need to account for systemic significance and risk infectivity. The interlinkages among sovereign debt risk spillover blocks vary over time, given that the composition and attributes of these blocks change. Our findings provide implications for related regulators and investors.</p></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":null,"pages":null},"PeriodicalIF":6.3000,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Research in International Business and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S027553192400285X","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
Global sovereign debt risks are escalating with the tightening of global liquidity. We apply the LASSO-VAR spillover model, network approach and block model to analyze the overall situation and time-varying characteristics of sovereign risk volatility spillover effects among 50 countries. The results show that there is a discernible cyclical pattern in the spillover effect of global sovereign risk volatility, with the spillover intensity progressively rising in each cycle, and more countries have emerged as "net risk exporters" recently. Countries and regions exhibit diverse risk spillover traits, and assume varying roles in the transmission of sovereign debt risks. The originator of a sovereign risk shock isn't necessarily its primary disseminator, underscoring the need to account for systemic significance and risk infectivity. The interlinkages among sovereign debt risk spillover blocks vary over time, given that the composition and attributes of these blocks change. Our findings provide implications for related regulators and investors.
期刊介绍:
Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance