Macroeconomic effects of systemic stress: a rolling spillover index approach
https://doi.org/10.3326/pse.46.1.4 | Published online: March 8, 2022 Table 1
Variables description
Table 2
Spillover table, full sample, in percent
Figure 1
Total spillover index, h = 12, rolling windows 30, 36 and 42 months Figure 2
Net pair-wise spillover indices between each variable and CISS, h =12, rolling windows 36 months Source: Author’s calculation. Figure 3
Comparison of rolling net spillover indices (grey lines, right axis) to the Granger causality test p-value (black lines, left axis), 36 months window length, CISS is the cause Source: Author’s calculation. Figure 4
Comparison of rolling net spillover indices (grey lines, right axis) to the Granger causality test p-value (black lines, left axis), 36 months window length, CISS is the response Source: Author’s calculation. Figure 5
Net pair-wise spillover indices between each variable and CISS, h =12, rolling windows 30, 36 and 42months Figure 6
Comparison of total spillover index, 36 rolling window length, CISS (total 36, black line) and squared root of CISS (sqciss, grey line) in VAR model Table 3
Spillover table, full sample, in percent, monthly DGDP used
Figure 7
Total spillover index, h = 12, rolling window length 36 months, comparison of DIIP (grey line) to the DGDP (black line) variable specification Table A1
Unit root test results for all variables in the model
Source: Author’s calculation. Figure A1
Total spillover indices, h =12, rolling windows 30, 36 and 42 months, DGDP compared to DIIP Figure A2
Net spillover indices between each variable and CISS, h =12, rolling windows 36 months, DGDP compared to DIIP Source: Author’s calculation. Figure A3
Pair-wise net spillover indices between each variable and CISS, h =12, 18 and 24, rolling windows 36 months, DIIP Source: Author’s calculation. Figure A4
Correlation between CISS and selected variables, rolling windows 30, 36 and 42 months Source: Author’s calculation. Figure A5
Generalized IRFs from VAR model, entire sample, reaction of CISS to shocks in other variables and reactions of others to shocks in CISS Source: Author’s calculation. Figure A6
SVAR IRFs, entire sample, reaction of CISS to shocks in other variables and reactions of others to shocks in CISS Source: Author’s calculation. Table 1 Variables description DISPLAY Table Table 2 Spillover table, full sample, in percent DISPLAY Table Figure 1 Total spillover index, h = 12, rolling windows 30, 36 and 42 months DISPLAY Figure Figure 2 Net pair-wise spillover indices between each variable and CISS, h =12, rolling windows 36 months DISPLAY Figure Figure 3 Comparison of rolling net spillover indices (grey lines, right axis) to the Granger causality test p-value (black lines, left axis), 36 months window length, CISS is the cause DISPLAY Figure Figure 4 Comparison of rolling net spillover indices (grey lines, right axis) to the Granger causality test p-value (black lines, left axis), 36 months window length, CISS is the response DISPLAY Figure Figure 5 Net pair-wise spillover indices between each variable and CISS, h =12, rolling windows 30, 36 and 42months DISPLAY Figure Figure 6 Comparison of total spillover index, 36 rolling window length, CISS (total 36, black line) and squared root of CISS (sqciss, grey line) in VAR model DISPLAY Figure Table 3 Spillover table, full sample, in percent, monthly DGDP used DISPLAY Table Figure 7 Total spillover index, h = 12, rolling window length 36 months, comparison of DIIP (grey line) to the DGDP (black line) variable specification DISPLAY Figure Table A1 Unit root test results for all variables in the model DISPLAY Table Figure A1 Total spillover indices, h =12, rolling windows 30, 36 and 42 months, DGDP compared to DIIP DISPLAY Figure Figure A2 Net spillover indices between each variable and CISS, h =12, rolling windows 36 months, DGDP compared to DIIP DISPLAY Figure Figure A3 Pair-wise net spillover indices between each variable and CISS, h =12, 18 and 24, rolling windows 36 months, DIIP DISPLAY Figure Figure A4 Correlation between CISS and selected variables, rolling windows 30, 36 and 42 months DISPLAY Figure Figure A5 Generalized IRFs from VAR model, entire sample, reaction of CISS to shocks in other variables and reactions of others to shocks in CISS DISPLAY Figure Figure A6 SVAR IRFs, entire sample, reaction of CISS to shocks in other variables and reactions of others to shocks in CISS DISPLAY Figure |
March, 2022 I/2022 |
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