NDLI: Measuring spillover effects in Euro area financial markets: a disaggregate approach

Content Provider	Springer Nature Link
Author	Louzis, Dimitrios P.
Copyright Year	2015
Abstract	This study examines the return (price) and volatility (uncertainty) spillovers among the money, stock, foreign exchange and bond markets in the Euro area. The analysis is conducted in a disaggregated manner with respect to the bond and stock indices and utilizes the generalized forecast error variance decomposition framework of a VAR model proposed by Diebold and Yilmaz (Int J Forecast 23:57–66, 2012). The asymptotic distribution of the generalized forecast error variance decomposition components and the corresponding standard errors are also derived. Our empirical results, based on a data set covering a twelve-year period (2000–2012), suggest a high level of total return and volatility spillover effects throughout the sample period. Stock markets across the Euro area countries are identified as the main transmitters of price spillovers, with the periphery countries transmitting the largest amount of spillovers during the crisis periods. Stock markets also play a key role in uncertainty transmission, but now, the propagation mechanism includes the core Euro area countries, which transmit volatility spillovers diachronically. The money, FX and bond markets are constant receivers of spillovers, with the exception of the Greek bonds, which transmitted spillovers during the peak of the Greek sovereign debt crisis in 2011–2012.
Starting Page	1367
Ending Page	1400
Page Count	34
File Format	PDF
ISSN	03777332
Journal	Empirical Economics
Volume Number	49
Issue Number	4
e-ISSN	14358921
Language	English
Publisher	Springer Berlin Heidelberg
Publisher Date	2015-01-06
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Asset markets Spillovers Vector autoregressive Euro area Financial crisis Econometrics Statistics for Business/Economics/Mathematical Finance/Insurance Economic Theory/Quantitative Economics/Mathematical Methods
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Social Sciences Economics and Econometrics

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