In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the … components, the average potential spillover: i) amongst sovereigns, ii) amongst banks, iii) from sovereigns to banks, and iv … systemic contribution of each sovereign or banking group is quantified as the net spillover weight in the total net-spillover …

openness, exchange rate regime, fiscal variables). We find that trade integration fosters the spill-over of business cycles …

ECB-Global generally on the high side given its rich real and financial spillover structure …

significant sudden changes in shock transmission. Results indicate substantial spillover, especially between EMU countries …

This paper presents time-varying contagion indices of credit risk spillover and feedback between 64 financials and … sovereigns in the euro area, where spillover is identified based on bilateral Granger causality regressions. Over … played important roles during the crisis. Furthermore, the tense periods were short-lived and sovereign-to-bank spillover is …

the transatlantic spillover of monetary policy. They account for a part of the co-movement of German and US government …