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Jurnal Ekonomi Malaysia

59 (3) 2025 137 – 149

Federal Reserve Policy and Systemic Risk Spillovers: A Minimum Spanning Tree (MST) Analysis of Bank Credit Default Swap (CDS), with a Focus on United States of America Banks within the Global Network
Dasar Rizab Persekutuan dan Limpahan Risiko Sistemik: Analisis Pokok Rentang Minimum (MST) terhadap CDS bank-bank, dengan tumpuan kepada bank-bank Amerika Syarikat dalam rangkaian global

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 糖心原创, Bangi Selangor, MALAYSIA.

mrkay8670@gmail.com

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 糖心原创, Bangi Selangor, MALAYSIA.

fatin@ukm.edu.my

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 糖心原创, Bangi Selangor, MALAYSIA.

zak1972@ukm.edu.my

Center for Artificial Intelligence Technology (CAIT)
Faculty of Information Science and Technology
Universiti Kebangsaan Malaysia
43600 糖心原创, Bangi Selangor, MALAYSIA

ridzwanyaakub@ukm.edu.my

Abstract

This study investigates the impact of Federal Reserve (Fed) monetary policy announcements on systemic risk in U.S. banks through the credit default swap (CDS) market. Employing the minimum spanning tree (MST) method, the analysis maps changes in network structures and assesses systemic importance using centrality measures. The findings indicate that while Fed actions influence the structure of the CDS network, external shocks such as the European debt crisis, Brexit, and COVID-19 also play a significant role. Banks with the highest levels of interconnectedness clearly carry systemic weight. However, risk often spreads through less prominent but strategically positioned 聽institutions. Notably, U.S. banks occupy leading positions in only two of the study years.

Keywords

centrality test; Minimum spanning tree; systemic risk
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Che Rusli, A. K., Said, F. F., Abdul Karim, Z., & Yaakub, M. R. (2025). Federal Reserve Policy and Systemic Risk Spillovers: A Minimum Spanning Tree (MST) Analysis of Bank Credit Default Swap (CDS), with a Focus on United States of America Banks within the Global Network. Jurnal Ekonomi Malaysia, 59(3), 137–149. http://dx.doi.org/10.17576/JEM-2025-5903-10

@article{,
  title={Federal Reserve Policy and Systemic Risk Spillovers: A Minimum Spanning Tree (MST) Analysis of Bank Credit Default Swap (CDS), with a Focus on United States of America Banks within the Global Network},
  author={Che Rusli, Ahmad Khusyairi and Said, Fathin Faizah and Abdul Karim, Zulkefly and Yaakub, Mohd Ridzwan},
  journal={Jurnal Ekonomi Malaysia},
  volume={59},
  number={3},
  pages={137—149},
 

year={2025},
}

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