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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
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FULL ARTICLE
FIGURES & DATA
REFERENCES
CROSSMARK POLICY
METRICS
LICENCING
PDF
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Abbreviation
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Full name
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DIIP
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Year on year growth rate of index
of industrial production
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DHICP
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Year on year growth rate of
harmonized index of consumer prices
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DIRATE
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Year on year change of the 3-month
Euribor rate
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DLN
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Year on year growth rate of
nominal bank loans to the private sector
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CISS
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German Composite Indicator of
Systemic Stress
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SQ_CISS
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Square root of CISS
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DGDP
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Year on year growth rate of gross
domestic product
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Variable
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DIIP
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DHICP
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DIRATE
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DLN
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CISS
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From
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T_from
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DIIP
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52.84
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5.05
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16.77
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1.89
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23.46
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11.79
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47.17
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DHICP
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21.15
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63.80
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2.29
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0.66
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12.09
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9.05
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36.19
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DIRATE
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12.35
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1.27
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56.89
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1.17
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28.32
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10.77
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43.11
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DLN
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0.07
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1.38
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9.61
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84.55
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4.38
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3.86
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15.44
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CISS
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3.03
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4.25
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2.21
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0.45
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90.06
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2.49
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9.94
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To
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9.15
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2.99
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7.72
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1.04
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17.06
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-
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-
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T_to
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36.6
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11.95
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30.88
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4.17
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68.25
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-
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37.96
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Source: Author’s calculation.
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.
Note: Dashed grey line is the zero value for the spillover index; black dashed line is the 10%
significance level. Source: Author’s calculation.
Note: Dashed grey line is the zero value for the spillover index; black dashed line is the 10%
significance level. Source: Author’s calculation.
Source: Author’s calculation.
Source: Author’s calculation.
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Variable
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DGDP
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DHICP
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DIRATE
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DLN
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CISS
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From
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T_from
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DGDP
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61.90
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2.64
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13.45
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2.46
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19.55
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9.53
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38.10
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DHICP
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17.45
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65.88
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4.08
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1.52
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11.07
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8.53
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34.12
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DIRATE
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8.92
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1.15
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62.84
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0.56
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26.52
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9.29
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37.15
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DLN
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0.27
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1.50
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9.09
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84.85
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4.29
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3.79
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15.15
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CISS
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3.55
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5.26
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2.01
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0.59
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88.59
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2.85
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11.41
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To
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5.64
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2.64
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7.16
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1.28
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15.36
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-
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-
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T_to
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30.19
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10.55
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28.63
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5.13
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61.43
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-
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33.98
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Source: Author’s calculation.
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Level, type = drift
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Test values 1%, 5%, 10%
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DIIP
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-3.219
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-3.46; -2.87;
-2.57
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DHICP
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-2.933
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IRATE
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-1.293
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DLN
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-3.396
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CISS
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-3.881
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DIRATE
(differenced interest rate)
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Type = none
-3.488
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-2.574;
-1.942; -1.616
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Source: Author’s calculation.
Source: Author’s calculation.
Source: Author’s calculation.
Source: Author’s calculation.
 Source: Author’s calculation.
Note: Black curve denotes estimated impulse response and red dashed curves denote the 95%
confidence interval. Source: Author’s calculation.
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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March, 2022
I/2022 |
