Spillover across Eurozone credit market sectors and determinants

Syed Jawad Hussain Shahzad, Elie Bouri (), Jose Arreola-Hernandez, David Roubaud () and Stelios Bekiros
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Syed Jawad Hussain Shahzad: Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School
Jose Arreola-Hernandez: ESC [Rennes] - ESC Rennes School of Business
Authors registered in the RePEc Author Service: Jose Arreola Hernandez

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Abstract: We examine spillover and its determinants among Eurozone sector level credit markets using time and frequency domain spillover approaches. Based on network theory and connectedness analysis, we identify the sectors that are major transmitters and receivers of spillover during normal and crisis periods. The rolling window analysis shows that short-run spillover among credit market sectors intensifies during global and Eurozone crisis periods. Further, using Bayesian model averaging, we find that overall financial conditions and stock market volatility are the main drivers of total and sector-level spillover. Our findings have important implications for policymakers and investors interested in Euro-area credit risk at the sector level.

Keywords: Credit default swaps; Time and frequency domain spillovers; Network connectedness; Bayesian model averaging; Crisis periods (search for similar items in EconPapers)
Date: 2019-05-22
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Citations: View citations in EconPapers (14)

Published in Applied Economics, 2019, 51 (59), pp.6333-6349. ⟨10.1080/00036846.2019.1619014⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02353094

DOI: 10.1080/00036846.2019.1619014

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