How systemic is Spain for Europe
作者： Borek Vasicek , Peter Gunther Claeys
DOI:
关键词: Bond 、 Spillover effect 、 Sovereignty 、 Banking sector 、 Summary statistics 、 Economics 、 Club 、 Financial system 、 Bond market
摘要: We use the forecast-error variance decompositions from a VAR with daily sovereign bonds spreads since 2000 to detail linkages between EU bond markets and banks over time. Using new summary statistics on matrix of bilateral linkages, we show Spain is systemic for Europe. Its fiscal problems expose it trouble in other Club Med countries, whereas its internationally grown banking sector transmits domestic economic rest This spillover has substantially increased outbreak Fiscal Crisis Eurozone May 2010. develop real-time indicator follow degree basis. iv
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