Measuring Sovereign Contagion

Loriana Pellizzon, Università Ca’ Foscari Venezia

Macro-financial risk has become increasingly important over time as global markets have grown more interconnected. In this lecture, Pelizzon presents a study — conducted with colleagues — in which various econometric measures of connectedness, based on Granger causality networks, were applied to changes in the sovereign risk of European countries and the credit risk of major banks, intermediaries and insurance companies in Europe, the United States and Japan, in order to study the evolution of these connections.

Instabilities in Financial Markets| Symposium for the 202nd Anniversary of the Founding Decree of the Scuola Normale Superiore | October 19, 2012 | Sala Azzurra