Signed spillover effects building on historical decompositions

Mardi Dungey, John Harvey, Pierre Siklos and Vladimir Volkov

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: The spillover effects of interconnectedness between financial assets are decomposed into both sources of shocks and whether they amplify or dampen volatility conditions in the target market. We use historical decompositions to rearrange information from a VAR which includes sources, direction and signs of effects building on the unsigned forecast error variance decomposition approach of Diebold and Yilmaz (2009). A spillover index based on historical decompositions has simple asymptotic properties, permitting the derivation of analytical standard errors of the index and its components. We apply the methodology to a panel of CDS spreads of sovereigns and financial institutions for the period 2003-2013 and identify how these entities contribute to global systemic risk.

Keywords: Historical decomposition; DY Spillover; Granger Causality; Networks (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 G10 (search for similar items in EconPapers)
Pages: 53 pages
Date: 2017-08
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://cama.crawford.anu.edu.au/sites/default/fil ... _siklos_volkov_0.pdf (application/pdf)

Related works:
Working Paper: Signed spillover effects building on historical decompositions (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2017-52

Access Statistics for this paper

More papers in CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Contact information at EDIRC.
Bibliographic data for series maintained by Cama Admin ().