Visualising the Global Credit Risk Network

The model covers the following 18 countries: Austria, Australia, Belgium, China, France, Germany, Greece, Ireland, Italy, Japan, the Netherlands, Norway, Portugal, Russia, Spain, Sweden, the UK and the US.

The model uses daily data over the period January 2nd 2006 to July 27th 2015. The model is estimated using a rolling window of 250 trading days.

The following information is included for each country:

  • The first difference of the sovereign credit default swap (CDS) spread
  • The first difference of a synthetic CDS spread for the financial sector
  • The first difference of the sovereign term spread
  • The return on a broad domestic stock index
  • The model also includes four global control variables:

  • The first difference of the S&P500 variance risk premium
  • The first difference of the US Treasury variance risk premium
  • The first difference of the TED spread
  • The first difference of the Euribor-DeTBill spread
  • A detailed description of the construction and properties of the dataset can be found in the data supplement for the paper.

    Much of the data used in the model is proprietary and the associated licensing restrictions prevent us from sharing the dataset.