Sovereign default network and currency risk premia

Financial Innovation

Table 4 Network centrality and currency sovereign risk

	(1)	(2)	(3)	(4)	(5)
Dependent variable A: currency excess return
Constant × 10⁻³	− 3.697 (3.202)	− 1.561 (1.431)	− 0.033 (0.564)	− 1.256*** (0.212)	− 1.195** (0.057)
Centrality × 10⁻³	2.544 (4.441)	0.764 (3.314)	− 375.130*** (110.619)	− 0.015** (0.005)	2.392 (1.997)
Country FE	Yes	Yes	Yes	Yes	Yes
No. of obs	4797	4797	4797	4797	4797
Adj. R² within	0.001	0.000	0.001	0.001	0.001
Dependent variable B: currency forward spread
Constant × 10⁻³	5.223** (2.272)	4.425*** (1.125)	2.538*** (0.368)	2.717*** (0.145)	2.747*** (0.280)
Centrality × 10⁻³	2.531 (4.334)	4.190 (2.677)	11.211 (72.096)	0.006 (0.04)	0.926 (0.974)
Country FE	Yes	Yes	Yes	Yes	Yes
No. of obs	4797	4797	4797	4797	4797
Adj. R² within	0.001	0.001	0.001	0.001	0.001

From column 1–5 the network centrality denote in-strength, out-strength, closeness, betweenness, and eigenvector centrality, respectively. The Huber–White heteroskedasticity-robust standard errors adjusted for country clustering are provided in parentheses. *** and ** indicate significance at the 1% and 5% levels