Annals of Operations Research

, Volume 266, Issue 1–2, pp 441–498 | Cite as

Interdependencies between CDS spreads in the European Union: Is Greece the black sheep or black swan?

  • Dimitrios KoutmosEmail author
Analytical Models for Financial Modeling and Risk Management


This paper dissects the dynamic interdependencies between credit default swap spreads among several European Union (EU) countries (Belgium, Bulgaria, Croatia, France, Germany, Greece, Hungary, Italy, Portugal, Romania, Slovakia, and Spain) during the period between October 2004 and July 2016. Its purpose is to delineate interdependence patterns in credit risk in order to identify whether a particular country, such as Greece, or a group of countries, disproportionately transmit credit risk to the remaining sampled EU countries. The findings herein show that the interdependencies between countries’ credit risks are heterogeneous across time. Specifically, when mapping credit risk transmission channels during the 2008–2009 financial crisis and 2011–2013 European debt crisis, respectively, it is evident that transmission patterns shift whereby some countries transmit more credit risk than others. Finally, despite recent news headlines, it cannot be shown empirically that Greece is the dominant transmission catalyst for shocks in the credit risks of the remaining sampled EU countries.


Credit default swaps European debt crisis Greece Vector autoregression 

JEL Classification

C58 G10 G15 G17 


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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Worcester Polytechnic InstituteWorcesterUSA

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