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COVID-19 and Tail-event Driven Network Risk in the Eurozone

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  • Huynh, Toan Luu Duc
  • Foglia, Matteo
  • Doukas, John A.

Abstract

This paper analyses tail risk spillover, considering interaction of the 46 largest capitalization firms in the Eurozone over the period 9 January 2006 to 28 December 2020 (including part of the COVID-19 era). Employing the Tail-Event driven NETwork (TENET) model, our findings identify insights about the risk sender and receiver in interrelationships of systemic risk beyond contemporaneous total spillover effects. First, total connectedness surged and peaked in the early months of 2020, relative to previous crises. Second, industrial manufacturing and consumer products have a high degree of risk transmission. Third, we determine the predictive indicators of spillover risk. Finally, our results hold several policy implications.

Suggested Citation

  • Huynh, Toan Luu Duc & Foglia, Matteo & Doukas, John A., 2022. "COVID-19 and Tail-event Driven Network Risk in the Eurozone," Finance Research Letters, Elsevier, vol. 44(C).
    • Handle: RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001513
    DOI: 10.1016/j.frl.2021.102070
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    Cited by:

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    2. Billah, Mabruk & Karim, Sitara & Naeem, Muhammad Abubakr & Vigne, Samuel A., 2022. "Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness," Research in International Business and Finance, Elsevier, vol. 62(C).
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    5. Iyer, Subramanian Rama & Simkins, Betty J., 2022. "COVID-19 and the Economy: Summary of research and future directions," Finance Research Letters, Elsevier, vol. 47(PB).
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    8. Irwansyah & Muhammad Rinaldi & Abdurrahman Maulana Yusuf & Muhammad Harits Zidni Khatib Ramadhani & Sitti Rahma Sudirman & Rizky Yudaruddin, 2023. "The Effect of COVID-19 on Consumer Goods Sector Performance: The Role of Firm Characteristics," JRFM, MDPI, vol. 16(11), pages 1-18, November.
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    10. Chortane, Sana Gaied & Pandey, Dharen Kumar, 2022. "Does the Russia-Ukraine war lead to currency asymmetries? A US dollar tale," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).

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    More about this item

    Keywords

    Connectedness; COVID-19; Eurozone firms; Spillover risk; Systemic Risk; TENET;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G00 - Financial Economics - - General - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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