Investigating Systemic Risk with Co-occurrence Networks – Studies from the fields of sovereign bond and energy markets

Each of the three articles within this dissertation represents a distinct investigation within the broader research domain. While they may stand alone as individual contributions, they are interconnected by a common research theme, systemic risk. The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network This study investigates the sovereign yield curve network of 12 developed countries. The term structure of interest rates into the Level, Slope, and Curvature factors are decomposed by using the Diebold and Li model. The connections between the latent yield curve factors across the countries are measured using the Toda and Yamamoto model. The timeframe covers more than 23 years; therefore, it is possible to compare two global and two local crisis periods. Investigating the network on node level, in the entire sample period, all three US latent factors act as key participants in the network, however, their contribution is time variant. The network density differences on average are relatively small across calm and local crises periods, but significantly larger during the Global Financial Crisis and the European sovereign debt crises. Furthermore, links between the easing and tightening decisions by the Fed and the ECB, and the time-varying dominance of the US yield curve in our sovereign yield curve network are explored. The dominance of the US factors peaks if the Fed leads the hiking cycle and reaches its minimum when the interest rate cycle is led by the ECB. • Local and global crises behave differently. • US yield curve factors are the key participants of the network in calm periods as well as in local and global crises. • The dominance of the US factors peaks if the Fed leads the hiking cycle and reaches its minimum when the interest rate cycle is led by the ECB. Dynamic volatility transfer in the European oil and gas industry The study examines dynamic volatility transmissions among European energy industry participants along the production lines of ...