Macro-uncertainty and financial stress spillovers in the Eurozone |
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| Institution: | 1. Department of Economics, Management and Statistics, University of Palermo, V.le delle Scienze, 90128, Palermo, Italy;2. Bank of Lithuania, Totori? g. 4, LT-01121, Vilnius, Lithuania;1. University of Tunis, High Institute of Management, Tunis, Tunisia;2. College of Business Administration, AlBaha University, Saudi Arabia;3. Univ. Manouba, ESCT, RIM RAF, UR13ES56, Tunisia;4. University of Jeddah, College of Business, Department of Accounting, Jeddah, Saudi Arabia;5. University of Tunis, ISG, GEF-2A Lab, Tunis, Tunisia;6. University of Manouba, ESC, Manouba, Tunisia;1. European Commission, DG Joint Research Centre, Via Fermi 2749, I-21027, Ispra VA, Italy;2. Inter-American Development Bank, Calle 50 con Elvira Méndez, Tower Bank, Floor 23, Panama City, Panama;1. Department of Humanities and Social Sciences, Indian Institute of Technology Kharagpur, India;2. Indira Gandhi Institute of Development Research, Mumbai, India;1. Universidad Autónoma de Madrid, Spain;2. Universidad Complutense de Madrid, Spain;1. European University at St. Petersburg, 6/1A Gagarinskaya Str., St. Petersburg, 191187, Russia;2. Department of Economics, Feliciano School of Business, Montclair State University, Montclair, NJ, USA;1. University of Alcalá, Spain;2. University of Valladolid, Spain |
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| Abstract: | This paper studies macro-uncertainty and financial distress spillovers within the Eurozone. We propose a novel methodology to derive the indices of spillovers, by using a Global Vector autoregressive model fitted to data sampled at mixed-frequencies. We find that macro-uncertainty and financial stress are relatively disconnected in the Eurozone. We also show that connectedness between core and periphery Eurozone countries mainly operates through financial stress and it decreases since the outbreak of the Eurozone sovereign debt crisis (with an increasing role played by peripheral countries). As a result, investors and policymakers should monitor separately macro-uncertainty and financial stress. Finally, we find that the mixed-frequency data should be taken into account in this context, otherwise, the spillovers can be underestimated. |
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| Keywords: | Connectedness Global VAR Mixed frequency data Financial stress Macro-uncertainty C32 E44 |
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