Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches
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- 作者：Syed Jawad Hussain Shahzada ; b ; jawad.kazmi5@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Safwan Mohd Nora ; c ; safwan@umt.edu.my" class="auth_mail" title="E-mail the corresponding author ; Ronald Ravinesh Kumard ; e ; kumar_RN@usp.ac.fj" class="auth_mail" title="E-mail the corresponding author ; ronaldkmr15@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Walid Mensif ; g ; walid.mensi@fsegt.rnu.tn" class="auth_mail" title="E-mail the corresponding author
- 关键词：Credit default swap ; Contagion ; Wavelet squared coherence ; Variational mode decomposition ; Copula
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2017
- 出版时间：15 January 2017
- 年：2017
- 卷：466
- 期：Complete
- 页码：310-324
- 全文大小：5040 K
文摘
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The interdependence between US credit markets is examined through wavelet squared coherence.
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The little “shift-contagion” is analyzed using elliptical and Archimedean copulas on the short-run decomposed series through Variational Mode Decomposition (VMD).
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The Basic Material (Utilities) industry credit market has the highest (lowest) interdependence with other industries.
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Basic Materials credit market passes cyclical effects to the other industries.
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Contagion effect between US industry-level credit markets occurred during the global financial crisis of 2007–08.