Authors
Issue Date
30-Nov-2021
Physical description
19 p.
Abstract
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.
Notes
Artículo de revista
Publish on
Financial Stability Review / Banco de España, 41 (Autumn 2021), p. 65-83
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