dc.contributor.author
Claeys, Peter
dc.contributor.author
Vasicek, Borek
dc.date.issued
2014-09-23T16:46:34Z
dc.date.issued
2014-09-23T16:46:34Z
dc.date.issued
2014-09-23T16:46:34Z
dc.identifier
https://hdl.handle.net/2445/57589
dc.description.abstract
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
dc.format
application/pdf
dc.publisher
Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
dc.relation
Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2013/201301.pdf
dc.relation
IREA – Working Papers, 2013, IR13/01
dc.relation
AQR – Working Papers, 2013, AQR13/01
dc.relation
[WP E-AQR13/01]
dc.relation
[WP E-IR13/01]
dc.rights
cc-by-nc-nd, (c) Claeys et al., 2013
dc.rights
http://creativecommons.org/licenses/by-nc-nd/3.0/
dc.rights
info:eu-repo/semantics/openAccess
dc.source
Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))
dc.subject
Anàlisi financera
dc.subject
Gestió financera
dc.subject
Obligacions (Finances)
dc.subject
Mercat monetari
dc.subject
Investment analysis
dc.subject
Financial management
dc.title
How systemic is Spain for Europe?
dc.type
info:eu-repo/semantics/workingPaper
