Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/57589| Title: | How systemic is Spain for Europe? |
| Author: | Claeys, Peter Vasicek, Borek |
| Keywords: | Anàlisi financera Gestió financera Obligacions (Finances) Inversions Mercat monetari Investment analysis Financial management Bonds Investments Money market |
| Issue Date: | 2013 |
| Publisher: | Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública |
| Series/Report no: | [WP E-AQR13/01] [WP E-IR13/01] |
| Abstract: | We use the forecast-error variance decompositions from a VAR with daily sovereign bonds spreads since 2000 to detail the linkages between EU sovereign bond markets and banks over time. Using new summary statistics on the matrix of bilateral linkages, we show Spain is systemic for Europe. Its fiscal problems expose it to trouble in sovereign bond markets of the other Club Med countries, whereas its internationally grown banking sector transmits domestic economic trouble to the rest of Europe. This spillover has substantially increased since the outbreak of the Fiscal Crisis in the Eurozone in May 2010. We develop a real-time indicator to follow the degree of spillover on a daily basis |
| Note: | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2013/201301.pdf |
| It is part of: | IREA – Working Papers, 2013, IR13/01 AQR – Working Papers, 2013, AQR13/01 |
| URI: | http://hdl.handle.net/2445/57589 |
| ISSN: | 2014-1254 |
| Appears in Collections: | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) AQR (Grup d’Anàlisi Quantitativa Regional) – Working Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| IR13-001_Claeys.pdf | 952.06 kB | Adobe PDF | View/Open |
This item is licensed under a
Creative Commons License
