How are interbank and sovereign debt markets linked? Evidence from 14 OECD countries, the Euro area and Russia
Bibliographic record
Abstract
The paper explores causal linkages between interbank and sovereign bond markets in 14 OECD countries, the Euro area and Russia during the 2008-2009 crisis and post-crisis period. The analysis has been carried out for individual countries and in a multivariate framework. It enables to identify systemically important countries in both markets. The USA, Switzerland, Australia, South Korea and Russia are of particular significance in the interbank lending market. Switzerland, the UK, Poland, Australia and Canada play a pivotal role in the public debt market. The analysis under the multivariate framework reveals substantial heterogeneity in the network structure of both markets. Only 12% of causal relationships coincide, which may fuel financial contagion. Volatility spillovers underlie the causal linkages. They are estimated by means of dynamic volatility indices based on rolling correlation matrices and help identify the transformation of the international banking turmoil into the sovereign debt crisis.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".