Stress Spillovers among Financial Markets: Evidence from Spain

Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our result...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Julián Andrada-Félix, Adrian Fernandez-Perez, Simón Sosvilla-Rivero
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	financial markets financial stress index systemic risk connectedness time-varying parameters COVID-19 Risk in industry. Risk management HD61 Finance HG1-9999
Acceso en línea:	https://doaj.org/article/4ed82bfeac9d4ba1be6fd21e86b49cfd
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:4ed82bfeac9d4ba1be6fd21e86b49cfd
record_format	dspace
spelling	oai:doaj.org-article:4ed82bfeac9d4ba1be6fd21e86b49cfd2021-11-25T18:08:34ZStress Spillovers among Financial Markets: Evidence from Spain10.3390/jrfm141105271911-80741911-8066https://doaj.org/article/4ed82bfeac9d4ba1be6fd21e86b49cfd2021-11-01T00:00:00Zhttps://www.mdpi.com/1911-8074/14/11/527https://doaj.org/toc/1911-8066https://doaj.org/toc/1911-8074Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our results suggest that 15.67% of the total variance of forecast errors was explained by shocks across the six financial market stress indices examined, indicating that the remaining 84.33% of variation was due to idiosyncratic shocks. Nevertheless, we find that stress connectedness varies over time, with a surge during periods of increasing economic and financial instability, mainly driven by high levels of pandemic and economy policy uncertainty and real economy worsening. Financial intermediaries were the main generators of stress during three out of four recent major financial crises in Spain, while their role as stress transmitters to other markets has been reduced since the onset of the COVID-19 health crisis. Our results also indicate that the COVID-19 outbreak represents a relevant event in the transmission of stress among all market segments.Julián Andrada-FélixAdrian Fernandez-PerezSimón Sosvilla-RiveroMDPI AGarticlefinancial marketsfinancial stress indexsystemic riskconnectednesstime-varying parametersCOVID-19Risk in industry. Risk managementHD61FinanceHG1-9999ENJournal of Risk and Financial Management, Vol 14, Iss 527, p 527 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	financial markets financial stress index systemic risk connectedness time-varying parameters COVID-19 Risk in industry. Risk management HD61 Finance HG1-9999
spellingShingle	financial markets financial stress index systemic risk connectedness time-varying parameters COVID-19 Risk in industry. Risk management HD61 Finance HG1-9999 Julián Andrada-Félix Adrian Fernandez-Perez Simón Sosvilla-Rivero Stress Spillovers among Financial Markets: Evidence from Spain
description	Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our results suggest that 15.67% of the total variance of forecast errors was explained by shocks across the six financial market stress indices examined, indicating that the remaining 84.33% of variation was due to idiosyncratic shocks. Nevertheless, we find that stress connectedness varies over time, with a surge during periods of increasing economic and financial instability, mainly driven by high levels of pandemic and economy policy uncertainty and real economy worsening. Financial intermediaries were the main generators of stress during three out of four recent major financial crises in Spain, while their role as stress transmitters to other markets has been reduced since the onset of the COVID-19 health crisis. Our results also indicate that the COVID-19 outbreak represents a relevant event in the transmission of stress among all market segments.
format	article
author	Julián Andrada-Félix Adrian Fernandez-Perez Simón Sosvilla-Rivero
author_facet	Julián Andrada-Félix Adrian Fernandez-Perez Simón Sosvilla-Rivero
author_sort	Julián Andrada-Félix
title	Stress Spillovers among Financial Markets: Evidence from Spain
title_short	Stress Spillovers among Financial Markets: Evidence from Spain
title_full	Stress Spillovers among Financial Markets: Evidence from Spain
title_fullStr	Stress Spillovers among Financial Markets: Evidence from Spain
title_full_unstemmed	Stress Spillovers among Financial Markets: Evidence from Spain
title_sort	stress spillovers among financial markets: evidence from spain
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/4ed82bfeac9d4ba1be6fd21e86b49cfd
work_keys_str_mv	AT julianandradafelix stressspilloversamongfinancialmarketsevidencefromspain AT adrianfernandezperez stressspilloversamongfinancialmarketsevidencefromspain AT simonsosvillarivero stressspilloversamongfinancialmarketsevidencefromspain
_version_	1718411557430362112

Stress Spillovers among Financial Markets: Evidence from Spain

Ejemplares similares