Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...

This paper presents the European Commission's Global Multi-country model (the GM model). The GM model is an estimated multi-country DSGE model that can be used for spillover analysis, forecasting and medium term projections. Its development is jointly performed by the Joint Research Centre and...