Public Sector Economics

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Macroeconomic effects of systemic stress: a rolling spillover index approach



Tihana Škrinjarić*
Article   |   Year:  2022   |   Pages:  109 - 140   |   Volume:  46   |   Issue:  1
Received:  June 1, 2021   |   Accepted:  November 6, 2021   |   Published online:  March 8, 2022
Download citation        https://doi.org/10.3326/pse.46.1.4       


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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