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.
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