Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission

Lukas Boeckelmann and Arthur Stalla-Bourdillon

Working Papers from HAL

Abstract: We propose a novel approach to quantify spillovers on financial markets based on a structural version of the Diebold-Yilmaz framework. Key to our approach is a SVAR-GARCH model that is statistically identified by heteroskedasticity, economically identifiedby maximum shock contribution and that allows for time-varying forecast error variance decompositions. We analyze credit risk spillovers between EZ sovereign and bank CDS. Methodologically, we find the model to better match economic narratives compared with common spillover approaches and to be more reactive than models relying on rolling window estimations. We find, on average, spillovers to explain 37% of the variation in our sample, amid a strong variation of the latter over time.

Keywords: Credit default swap; sovereign debt; systemic risk; Structural vector autoregressive; identification by heteroskedasticity; contagion; dette souveraine; risque systémique (search for similar items in EconPapers)
Date: 2021-09-08
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission (2021)
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:hal:wpaper:hal-03338209

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().