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
Source: Eurostat (2021), DBE (2021), ECB (2021). Table 2
Spillover table, full sample, in percent
Source: Author’s calculation. Figure 1
Total spillover index, h = 12, rolling windows 30, 36 and 42 months Source: Author’s calculation. Figure 2
Net pair-wise spillover indices between each variable and CISS, h =12, rolling windows 36 months Note: Dashed lines indicate dates from left to right: Global financial crisis, Euro crisis, Brexit
referendum vote and COVID-19 crisis. 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 Note: Dashed grey line is the zero value for the spillover index; black dashed line is the 10%
significance level. 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 Note: Dashed grey line is the zero value for the spillover index; black dashed line is the 10%
significance level. Source: Author’s calculation.Figure 5
Net pair-wise spillover indices between each variable and CISS, h =12, rolling windows 30, 36 and 42months Source: Author’s calculation. 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 Source: Author’s calculation. Table 3
Spillover table, full sample, in percent, monthly DGDP used
Source: Author’s calculation. Figure 7
Total spillover index, h = 12, rolling window length 36 months, comparison of DIIP (grey line) to the DGDP (black line) variable specification Source: Author’s calculation. Table A1
Unit root test results for all variables in the model
Note: Schwartz information criterion was used for the ADF test results. The KPSS test value for
IRATE is equal to 1.65, with the critical values for 1%, 5% and 10% of 0.739, 0.463 and 0.347
respectively. Source: Author’s calculation.Figure A1
Total spillover indices, h =12, rolling windows 30, 36 and 42 months, DGDP compared to DIIP Source: Author’s calculation. 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 Note: Money market represents the realised volatility of the 3-month Euribor rate, interest rate
spread between 3-month Euribor and 3-month T-bills, and monetary Financial Institutions (MFI)
emergency lending at Eurosystem central banks; Intermediaries represents realised volatility of
the idiosyncratic equity return of the Datastream bank sector stock market index over the total,
yield spread btw A-rated fin. & non-fin. corp. (7y), CMAX for the Datastream non-fin. sector stock
market index interacted with the inverse price-book ratio for the fin. sector eqty. market index;
FX is the realised volatility of the euro exchange rate vis-a-vis the US dollar, the Japanese Yen
and the British Pound; Equity is realised volatility of the Datastram non-financial sector stock
market index, CMAX for the Datastream non-financial sector stock market index, and stock-bond
correlation; and Bond is realised volatility of the German 10-year benchmark government bond
index, yield spread between A-rated non-financial corporations and government bonds (7-year
maturity bracket), and 10-year interest rate swap spread. 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 Note: Black curve denotes estimated impulse response and red dashed curves denote the 95%
confidence interval. 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 Note: Aut = Bεt is the setting within the SVAR, where matrix B is the unit matrix, and matrix A has
unit values on its diagonal with null values above the diagonal, and the rest of the values below
the diagonal estimated in the analysis. 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, 2022I/2022 |