Credit risk interconnectedness: What does the market really know?

Acharya, 2016, Measuring systemic risk, Rev. Financ. Stud., 30, 2, 10.1093/rfs/hhw088 Adrian, 2016, CoVar, Am. Econ. Rev., 106, 1705, 10.1257/aer.20120555 Allen, 2012 Ang, 2013, Systemic sovereign credit risk: lessons from the U.S. and Europe, J. Monet. Econ., 60, 493, 10.1016/j.jmoneco.2013.04.009 Barigozzi, 2013 Betz, 2016, Systemic risk spillovers in the European banking and sovereign network, J. Financ. Stab., 25, 206, 10.1016/j.jfs.2015.10.006 Billio, 2015 Bolton, 2016, Relationship and transaction lending in a crisis, Rev. Financ. Stud., 29, 2643, 10.1093/rfs/hhw041 Braeuning, 2016, Relationship lending in the interbank market and the price of liquidity, Rev. Financ., 10.1093/rof/rfw042 Brownlees, C., Hans, C., Nualart, E. (2016). Bank Credit Risk Networks: Evidence from the Eurozone. Working Paper. Brunnermeier, 2009, Deciphering the liquidity and credit crunch 2007–2008, The Journal of Economic Perspectives, 23, 77, 10.1257/jep.23.1.77 Brunnermeier, 2009, Market liquidity and funding liquidity, Rev. Financ. Stud., 22, 2201, 10.1093/rfs/hhn098 Caballero, 2013, Fire sales in a model of complexity, J. Financ., 68, 2549, 10.1111/jofi.12087 Cai, 2016 Cetina, 2016, Stressed to the core: counterparty concentrations and systemic losses in CDS markets, J. Financ. Stab., 10.1016/j.jfs.2016.10.012 Constantina, 2016, Network linkages to predict bank distress, J. Financ. Stab., 10.1016/j.jfs.2016.10.011 Dasgupta, 2004, Financial contagion through capital connections: a model of the origin and spread of bank panics, J. Eur. Econ. Assoc., 2, 1084, 10.1162/1542476042813896 Diebold, 2015 Diebold, 2016, On the network topology of variance decompositions: measuring the connectedness of financial firms, J. Econ., 128, 119 Duarte, 2015 Duffie, 1999, Modeling term structures of defaultable bonds, Rev. Financ. Stud., 12, 687, 10.1093/rfs/12.4.687 Fourel, 2013, Domino effects when banks hoard liquidity: the French network Freixas, 2015 Freixas, 2000, Systemic risk, interbank relations and liquidity provision by the central bank, J. Money Credit Bank., 32, 611, 10.2307/2601198 Gai, 2011, Complexity, concentration and contagion, J. Monet. Econ., 58, 453, 10.1016/j.jmoneco.2011.05.005 Greenwood, 2015, Vulnerable banks, J. Financ. Econ., 115, 471, 10.1016/j.jfineco.2014.11.006 Hale, 2016, Crisis transmission in the global banking network, 10.24148/wp2016-01 Ippolito, 2015, Double bank runs and liquidity risk management, J. Financ. Econ. Iyer, 2005, How does a shock propagate? A model of contagion in the interbank market due to financial linkages Krackhardt, 1988, Predicting with networks: nonparameric multiple regression analysis of dyadic data, Soc. Netw., 10, 359, 10.1016/0378-8733(88)90004-4 Kritzman, 2011, Principal components as a measure of systemic risk, J. Portfol. Manage., 37, 112, 10.3905/jpm.2011.37.4.112 Mayordomo, 2014, Are all credit default swap databases equal?, Eur. Financ. Manage., 20, 10.1111/j.1468-036X.2013.12023.x Memmel, 2013, Contagion in the interbank market and its determinants, J. Financ. Stab., 9, 46, 10.1016/j.jfs.2013.01.001 Nier, 2010, Network models and financial stability, J. Econ. Dyn. Control, 31, 2033, 10.1016/j.jedc.2007.01.014 Podlich, 2014, Crossborder financial contagion to Germany: how important are OTC dealers?, Int. Rev. Financ. Anal., 33 Suhua, 2013, Bank capital, interbank contagion and bailout policy, J. Bank. Financ., 37, 2765, 10.1016/j.jbankfin.2013.03.024 Upper, 2011, Simulation methods to assess the danger of contagion in interbank markets, J. Financ. Stab., 7, 111, 10.1016/j.jfs.2010.12.001 Zhang, 2014, Conditional euro area sovereign default risk, J. Bus. Econ. Stat., 32