一、主題：Sovereign Risk Spillovers: A Network Approach

二、主講人：David Dickinson
David Dickinson，英國伯明翰大學經濟學教授。曾任經濟系主任、商學院院長和社會科學學院國際化主任。本科畢業于英國曼徹斯特大學，博士畢業于英國謝菲爾德大學。目前，他是綠色經濟和可持續發展聯合研究所的社會科學帶頭人。他的研究領域為銀行和金融市場，在過去15年裡他一直緻力于研究中國問題。他出版了大量的專著，其學術論文也發表于Journal of Banking and Finance、Pacific-Basin Finance Journal、Journal of International Financial Markets, Institutions and Money等國際知名期刊。

三、時間：12月08日（周三）20:00-21:30
四、地點：騰訊會議 ID （998 607 194）
五、主持人：陶坤玉，國際金融系副教授
六、内容介紹：
Abstract：Understanding the global financial network for sovereign debt, particularly with a focus on interaction and spillover effects of sovereign risk, has become important for policy makers as they look to protect the stability of their economies. Using high dimensional Vector Autoregression techniques and network simulation, on Sovereign Credit Default Swaps (CDS)’ data of 57 countries, we identify that the global sovereign CDS network is fully integrated as there is virtually no country without any connection to at least one specific node in the system. However, each country has a unique attribute in the network, as a risk exporter or importer and/or risk transmitter. Among developed countries, the US (unsurprisingly) holds the dominant position as a risk exporter while Germany is identified as a connecting country that transmits shocks. The most connected countries in the sovereign CDS network belong to the new European Union members. We examine possible drivers of the network relationships observed, in order to better understand the risk transmission process, and find that connections in the sovereign risk network are stronger within regional groups and countries with the same level of economic development. Central and Eastern Europe and Middle East and Africa have more interactive networks than Northern Western Europe, Asia Pacific and Latin America. We also identify that financial volatility and economic policy uncertainty increase the interactions in market-based default risk assessment.

支持：bevictor伟德官网引智項目