The European tango between market risk and credit risk: A non-linear approach

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-06-10 DOI:10.1016/j.frl.2025.107744

Dora Almeida , Paulo Ferreira , Andreia Dionísio

引用次数: 0

Abstract

Financial markets are closely connected, with credit and market risks dynamically influencing each other, particularly during extreme events. While their interdependence is well-documented in the literature, the direction and intensity of information flow remain uncertain. Using transfer entropy on European credit and stock volatility indices, we quantify this flow and its dynamics during the most recent extreme events. Our findings reveal a shifting dominance, with the credit market leading during extreme uncertainty, challenging the conventional view of risk market leadership. These patterns underscore the need to monitor the credit market as a potential early warning sign of financial instability.

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市场风险与信用风险之间的欧洲探戈：非线性方法

金融市场紧密相连，信贷和市场风险相互动态影响，特别是在极端事件期间。虽然它们的相互依赖在文献中有充分的记载，但信息流的方向和强度仍然不确定。利用欧洲信贷和股票波动指数的转移熵，我们量化了这种流动及其在最近极端事件中的动态。我们的研究结果揭示了主导地位的转变，信贷市场在极端不确定性时期处于领先地位，挑战了风险市场领先地位的传统观点。这些模式突出表明，有必要对信贷市场进行监测，将其作为金融不稳定的潜在早期预警信号。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance