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Measuring interconnectedness across institutions and sectors

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Fecha de publicación
30-nov-2021
Descripción física
19 p.
Resumen
This article analyzes the transmission of risk across euro area sovereign debt markets, euro area equity markets, and financial and non-financial sectors in Spain. To this end, the study draws on the connectedness methodology proposed by Diebold and Yilmaz (2009), which focuses on forecast error variance decompositions from vector autoregressive models. The results indicate that the spillover indices using this methodology identify periods during the euro area sovereign debt crisis and the current COVID-19 pandemic when spillovers were generated across financial markets and sectors.
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Publicado en
Financial Stability Review / Banco de España, 41 (Autumn 2021), p. 65-83
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