engleski

Macroeconomic effects of systemic stress: a rolling spillover index approach

This research belongs to the strand of literature that focuses on the effects of financial instability on the rest of the economy. We observe the dynamic changes of the shock spillovers between the systemic stress and the rest of the German economy. In that way, the net emitters and receivers of shocks can be observed throughout time, as previous research found that systemic systemic stress is not always the predictor of other economic activity. The sample includes data ranging from January 2000 until December 2020, with the Diebold and Yilmaz (2009, 2012) spillover index approach within the VAR (vector autoregression) model. One step further is taken, as 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. Due to the timing and intensity of the specific measures is important in practice ; such an approach enables the policymakers to do so.

systemic risk ; systemic stress index ; financial system ; monetary policy ; macroprudential measures

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