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
Source: Author’s calculation.
Figure 2
Net pairwise 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 COVID19 crisis.
Source: Author’s calculation. Figure 3
Comparison of rolling net spillover indices (grey lines, right axis) to the Granger causality test pvalue (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 pvalue (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 pairwise 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
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
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
Pairwise 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 3month Euribor rate, interest rate
spread between 3month Euribor and 3month Tbills, 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 Arated fin. & nonfin. corp. (7y), CMAX for the Datastream nonfin. sector stock
market index interacted with the inverse pricebook ratio for the fin. sector eqty. market index;
FX is the realised volatility of the euro exchange rate visavis the US dollar, the Japanese Yen
and the British Pound; Equity is realised volatility of the Datastram nonfinancial sector stock
market index, CMAX for the Datastream nonfinancial sector stock market index, and stockbond
correlation; and Bond is realised volatility of the German 10year benchmark government bond
index, yield spread between Arated nonfinancial corporations and government bonds (7year
maturity bracket), and 10year 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.
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