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How systemic is Spain for Europe?
Claeys, Peter Gunther; Vasicek, Borek
We 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
Anàlisi financera
Gestió financera
Obligacions (Finances)
Mercat monetari
Investment analysis
Financial management
Money market
cc-by-nc-nd, (c) Claeys et al., 2013
Documento de trabajo
Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública

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