Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/181755
Authors: 
Billio, Monica
Caporin, Massimiliano
Frattarolo, Lorenzo
Pelizzon, Loriana
Year of Publication: 
2018
Series/Report no.: 
SAFE Working Paper 225
Abstract: 
We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity and identification of the model, and analyze consistency and asymptotic normality of the quasi-maximum-likelihood estimator. We show how to isolate risk channels and we discuss how to compute target exposure able to reduce system variance. An empirical analysis on Euro-area cross-country holdings shows that Italy and Ireland are key players in spreading risk, France and Portugal are the major risk receivers, and we uncover Spain's non-trivial role as risk middleman.
Subjects: 
spatial GARCH
network
risk spillover
financial spillover
JEL: 
C58
G10
Persistent Identifier of the first edition: 
Document Type: 
Working Paper
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