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Measuring interconnectedness across institutions and sectors

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  • Julio Gálvez

Abstract

En este artículo se analiza la transmisión del riesgo tanto en los mercados de deuda soberana y de renta variable del área del euro como en los sectores financiero y no financiero de España. Para ello, el estudio se basa en la metodología propuesta por Diebold y Yilmaz (2009) para medir la conectividad, que se centra en las descomposiciones de la varianza de los errores de predicción a partir de modelos vectoriales autorregresivos. Los resultados indican que los índices de desbordamiento (spillover) que utilizan esta metodología identifican períodos durante la crisis de deuda soberana del área del euro y durante la actual pandemia de COVID-19 en los que se generaron efectos de desbordamiento entre los sectores y los mercados financieros.

Suggested Citation

  • Julio Gálvez, 2021. "Measuring interconnectedness across institutions and sectors," Revista de Estabilidad Financiera, Banco de España, issue NOV.
    • Handle: RePEc:bde:revist:y:2021:i:11:n:4
    Note: 41
    as

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    File URL: https://www.bde.es/f/webbde/Secciones/Publicaciones/InformesBoletinesRevistas/InformesEstabilidadFinancera/21/4_Interconnectedness_FSR41.pdf
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    References listed on IDEAS

    as
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    6. Christian Gross & Pierre L. Siklos, 2020. "Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 61-81, January.
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