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Table 2 Variable definitions

From: Sovereign default network and currency risk premia

Variable name

Description

Dependent variable

 Currency excess return

The one-month currency excess returns computed by the approach in section “Emphirical model”

 Currency forward spread

The log difference between forward exchange rate and spot exchange rate based on the US dollar

Network centrality

 Degree centrality

A measure of the weighted sum of all edges given a node. Similarly, in-strength measures the weighted sum of all edges from other nodes to the given node, while out-strength measures the weighted sum of all edges from the given node to other nodes

 Closeness centrality

The degree of closeness centrality is calculated by taking the sum of reciprocals of the length of the shortest path between the relevant node and all others

 Betweenness centrality

A measure of all the shortest paths in the network through a given node in the fraction form. A large number of shortest paths indicates that the relevant node has a high value of betweenness centrality

 Eigenvector centrality

The importance of a node in a network by considering the centrality of its connected nodes. A high eigenvector centrality node is observed when it connects to other high eigenvector centrality nodes

Sovereign characteristics

 Government debt ratio

(Government external debt)/(Total external debt)

 Total debt ratio

(Total external debt)/GDP