Küresel kamu kredi riski bağlanmışlığının tahmini

This paper applies the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDS) to estimate the network structure of the sovereign credit default risks. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and return volatilities for 38 countries between 2009 and 2014. Our results reveal striking differences between the network structures of SCDS returns and return volatilities. In the SCDS spread networks, emerging market and developed countries stand apart in two big clusters; major emerging market countries being the main determinants of spreads in the network. In the case of the SCDS volatility networks, however, we observe regional clusters among emerging market countries along with the developed-country cluster.