| Summary: | Is the source of systemic sovereign credit risk the economic linkages among sovereigns that expose them to the common macroeconomic shocks, or is it the financial linkages that spread and amplify shocks originated from one sovereign to the others? This question is of tremendous importance for economists and policy makers. However, as Hansen (2013) points out, while we have a long list of empirical measures of systemic risk (for example, see the survey of Bisias et al., 2012), we still face significant challenges in identifying, measuring, and even defining systemic risk, which present a major hurdle for testing alternative theories of systemic risk.
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