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DC Field | Value | Language |
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dc.contributor.author | Yfanti, S | - |
dc.contributor.author | Karanasos, M | - |
dc.contributor.author | Zopounidis, C | - |
dc.contributor.author | Christopoulos, A | - |
dc.date.accessioned | 2022-05-31T16:49:12Z | - |
dc.date.available | 2022-05-31T16:49:12Z | - |
dc.date.issued | 2022-04-21 | - |
dc.identifier | ORCID iD: Stavroula Yfanti https://orcid.org/0000-0001-8071-916X | - |
dc.identifier | ORCID iD: Menelaos Karanasos https://orcid.org/0000-0001-5442-3509 | - |
dc.identifier | ORCID iD: Constantin Zopounidis https://orcid.org/0000-0003-1881-8786 | - |
dc.identifier | ORCID iD: Apostolos Christopoulos https://orcid.org/0000-0003-2617-970X | - |
dc.identifier.citation | Yfanti, S., Karanasos, M., Zopounidis, C. and Christopoulos, A. (2022) 'Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics', European Journal of Operational Research, 304 (2), pp. 813 - 831. doi: 10.1016/j.ejor.2022.04.017. | en_US |
dc.identifier.issn | 0377-2217 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/24651 | - |
dc.description | Research data for this article are available for download under the CC BY licence at: https://www.sciencedirect.com/science/article/pii/S0377221722003150?via%3Dihub#ec-research-data . | en_US |
dc.description.abstract | Sectoral corporate credit risk interlinkages constitute a highly topical issue for the systemic risk considerations of policymakers and market practitioners. We reveal the macroeconomic drivers of dynamic correlations between European and US sectoral Credit Default Swaps (CDS) markets. The CDS conditional equicorrelations are explained by common macro-financial and news proxies. Our results demonstrate the counter-cyclical behaviour of the time-varying sectoral CDS interdependence, that is elevated sectoral correlations are associated with higher economic policy and financial uncertainty, stronger infectious disease news impact on equity markets, tighter credit conditions, economic activity slowdown, and negative sentiment. We further focus on economic policy uncertainty (EPU) as a potent catalyst of the CDS markets integration process and conclude that EPU magnifies the macro effects across credit risk correlations. Moreover, crisis events play a crucial role in the time-varying impact of the correlation macro drivers. Both financial and health crises amplify the influence that the macro factors exert on the evolution of credit risk correlations, leading to credit risk contagion and threatening financial stability. Lastly, we show that understanding the credit contagion mechanisms has clear implications for operational research applications on risk and portfolio management. | - |
dc.format.extent | 813 - 831 | - |
dc.format.medium | Print-Electronic | - |
dc.language | English | - |
dc.language.iso | en_US | en_US |
dc.publisher | Elsevier | en_US |
dc.rights | Copyright © 2022 Elsevier Ltd. All rights reserved. This is the accepted manuscript version of an article which has been published in final form at https://doi.org/10.1016/j.ejor.2022.04.017, archived on this repository under a Creative Commons CC BY-NC-ND attribution licence. | - |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | - |
dc.subject | finance | en_US |
dc.subject | credit risk co-movement | en_US |
dc.subject | economic policy uncertainty | en_US |
dc.subject | financial/health crisis | en_US |
dc.subject | sectoral CDS | en_US |
dc.subject | correlations | en_US |
dc.title | Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1016/j.ejor.2022.04.017 | - |
dc.relation.isPartOf | European Journal of Operational Research | - |
pubs.issue | 2 | - |
pubs.publication-status | Published | - |
pubs.volume | 304 | - |
dc.identifier.eissn | 1872-6860 | - |
Appears in Collections: | Dept of Economics and Finance Embargoed Research Papers |
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