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Spillover across Eurozone credit market sectors and determinants

Abstract : We examine spillover and its determinants among Eurozone sector level credit markets using time and frequency domain spillover approaches. Based on network theory and connectedness analysis, we identify the sectors that are major transmitters and receivers of spillover during normal and crisis periods. The rolling window analysis shows that short-run spillover among credit market sectors intensifies during global and Eurozone crisis periods. Further, using Bayesian model averaging, we find that overall financial conditions and stock market volatility are the main drivers of total and sector-level spillover. Our findings have important implications for policymakers and investors interested in Euro-area credit risk at the sector level.
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https://hal-rennes-sb.archives-ouvertes.fr/hal-02353094
Contributor : Steven Gouin <>
Submitted on : Thursday, November 7, 2019 - 10:50:40 AM
Last modification on : Monday, August 24, 2020 - 2:32:13 PM

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Syed Jawad Hussain Shahzad, Elie Bouri, Jose Arreola-Hernandez, David Roubaud, Stelios Bekiros. Spillover across Eurozone credit market sectors and determinants. Applied Economics, Taylor & Francis (Routledge), 2019, 51 (59), pp.6333-6349. ⟨10.1080/00036846.2019.1619014⟩. ⟨hal-02353094⟩

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