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Macroeconomic effects of systemic stress: a rolling spillover index approach

Author

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  • Tihana Skrinjaric

    (Croatian National Bank, Zagreb, Croatia)

Abstract
This research focuses on the effects of financial instability on the rest of the economy. The article observes the dynamic changes of the shock spillovers between systemic stress and the rest of the German economy. In that way, the net emitters and receivers of shocks are observed throughout time, as previous research found that systemic stress is not always the predictor of other economic activity. The analysis utilizes Diebold and Yilmaz (2009, 2012) spillover index approach within the vector autoregression model. One step further is taken as well, as the changes of dynamics are observed throughout the entire period. As the macroprudential and monetary policymakers have to track the interrelationships between these variables over time, the approach in the study is straightforward and easy to interpret. The timing and intensity of the specific measures are important in practice, and such an approach enables the policymakers to meet these criteria.

Suggested Citation

  • Tihana Skrinjaric, 2022. "Macroeconomic effects of systemic stress: a rolling spillover index approach," Public Sector Economics, Institute of Public Finance, vol. 46(1), pages 109-140.
    • Handle: RePEc:ipf:psejou:v:46:y:2022:i:1:p:109-140
    DOI: 10.3326/pse.46.1.4
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    Cited by:

    1. Tihana Skrinjaric, 2023. "Leading indicators of financial stress in Croatia: a regime switching approach," Public Sector Economics, Institute of Public Finance, vol. 47(2), pages 205-232.

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    More about this item

    Keywords

    systemic risk; systemic stress index; financial system; monetary policy; macroprudential measures;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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