1. Dipòsit Digital de la Universitat de Barcelona
  2. Recerca
  3. Institut de Recerca en Economia Aplicada Regional i Pública (IREA)
  4. Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))
Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/57589
Full metadata record
DC FieldValueLanguage
dc.contributor.authorClaeys, Peter-
dc.contributor.authorVasicek, Borek-
dc.date.accessioned2014-09-23T16:46:34Z-
dc.date.available2014-09-23T16:46:34Z-
dc.date.issued2013-
dc.identifier.issn2014-1254-
dc.identifier.urihttp://hdl.handle.net/2445/57589-
dc.description.abstractWe 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-
dc.format.extent46 p.-
dc.format.mimetypeapplication/pdf-
dc.language.isoeng-
dc.publisherUniversitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública-
dc.relation.isformatofReproducció del document publicat a: http://www.ub.edu/irea/working_papers/2013/201301.pdf-
dc.relation.ispartofIREA – Working Papers, 2013, IR13/01-
dc.relation.ispartofAQR – Working Papers, 2013, AQR13/01-
dc.relation.ispartofseries[WP E-AQR13/01]-
dc.relation.ispartofseries[WP E-IR13/01]-
dc.rightscc-by-nc-nd, (c) Claeys et al., 2013-
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/-
dc.sourceDocuments de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))-
dc.subject.classificationAnàlisi financera-
dc.subject.classificationGestió financera-
dc.subject.classificationObligacions (Finances)-
dc.subject.classificationInversions-
dc.subject.classificationMercat monetari-
dc.subject.otherInvestment analysis-
dc.subject.otherFinancial management-
dc.subject.otherBonds-
dc.subject.otherInvestments-
dc.subject.otherMoney market-
dc.titleHow systemic is Spain for Europe?eng
dc.typeinfo:eu-repo/semantics/workingPaper-
dc.date.updated2014-09-23T16:46:34Z-
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess-
Appears in Collections:AQR (Grup d’Anàlisi Quantitativa Regional) – Working Papers
Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

Files in This Item:
File Description SizeFormat 
IR13-001_Claeys.pdf952.06 kBAdobe PDFView/Open
Show simple item record


This item is licensed under a Creative Commons License Creative Commons