التفاصيل البيبلوغرافية
| العنوان: |
Structural Estimation of Time-Varying Spillovers : an Application to International Credit Risk Transmission |
| المؤلفون: |
Lukas, Boeckelmann |
| المساهمون: |
Stalla-Bourdillon, Arthur (VerfasserIn) |
| المصدر: |
2021 |
| الناشر: |
[S.l.]: SSRN |
| اللغة: |
English |
| نوع الوثيقة: |
Elektronische Ressource im Fernzugriff |
| Manifestation: |
Monographie [unabhängig ob Stück einer Reihe] |
| مستخلص: |
We propose a novel approach to quantify spillovers on financial markets based on a structural version of the Diebold-Yilmaz framework. Key to our approach is a SVARGARCH model that is statistically identified by heteroskedasticity, economically identified by maximum shock contribution and that allows for time-varying forecast error variance decompositions. We analyze credit risk spillovers between EZ sovereign and bank CDS. Methodologically, we find the model to better match economic narratives compared with common spillover approaches and to be more reactive than models relying on rolling window estimations. We find, on average, spillovers to explain 37% of the variation in our sample, amid a strong variation of the latter over time |
| رقم الأكسشن: |
EDSZBW1806376822 |
| قاعدة البيانات: |
ECONIS |
