This article analyzes the transmission of risk across euro area sovereign debt markets, euro area equity markets, and financial and non-financial sectors in Spain. To this end, the study draws on the connectedness methodology proposed by Diebold and Yilmaz (2009), which focuses on forecast error...

This paper presents the Banco de España’s reference framework for the analysis of macroeconomic and financial risk, and the impact of the materialisation of this risk on financial stability and the real economy. The framework encompasses a broad set of empirical and theoretical models and...

Este documento presenta el marco de referencia del Banco de España para el análisis del impacto de la materialización de riesgos macroeconómicos y financieros sobre la actividad real y la estabilidad financiera. Este marco incluye un amplio conjunto de modelos y métodos, tanto empíricos...