Spillover across eurozone credit market sectors and determinants
SHAHZAD, Syed Jawad Hussain; BOURI, Elie; ARREOLA-HERNANDEZ, Jose; ROUBAUD, David; BEKIROS, Stelios D.
Applied economics, 2019, Vol. 51, No. 59, pp. 6333-6349
SHAHZAD, Syed Jawad Hussain, BOURI, Elie, ARREOLA-HERNANDEZ, Jose, ROUBAUD, David, BEKIROS, Stelios D., Spillover across eurozone credit market sectors and determinants, Applied economics, 2019, Vol. 51, No. 59, pp. 6333-6349 - http://hdl.handle.net/1814/66111
Retrieved from Cadmus, EUI Research Repository
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.
Published online: 27 May 2019
Cadmus permanent link: http://hdl.handle.net/1814/66111
Full-text via DOI: 10.1080/00036846.2019.1619014
ISSN: 0003-6846; 1466-4283
Publisher: Routledge Journals, Taylor & Francis Ltd
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