COVID-19 and Tail-event Driven Network Risk in the Eurozone

Toan Luu Duc Huynh, Matteo Foglia and John A. Doukas

Finance Research Letters, 2022, vol. 44, issue C

Abstract: This paper analyses tail risk spillover, considering interaction of the 46 largest capitalization firms in the Eurozone over the period 9 January 2006 to 28 December 2020 (including part of the COVID-19 era). Employing the Tail-Event driven NETwork (TENET) model, our findings identify insights about the risk sender and receiver in interrelationships of systemic risk beyond contemporaneous total spillover effects. First, total connectedness surged and peaked in the early months of 2020, relative to previous crises. Second, industrial manufacturing and consumer products have a high degree of risk transmission. Third, we determine the predictive indicators of spillover risk. Finally, our results hold several policy implications.

Keywords: Connectedness; COVID-19; Eurozone firms; Spillover risk; Systemic Risk; TENET (search for similar items in EconPapers)
JEL-codes: E52 G00 G01 G14 G18 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001513

DOI: 10.1016/j.frl.2021.102070

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