Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/316930 
Year of Publication: 
2025
Series/Report no.: 
CESifo Working Paper No. 11816
Publisher: 
CESifo GmbH, Munich
Abstract: 
This study examines the relationship between sovereign spreads and banks in terms of risk transmission, using the seven largest Italian banks as a sample over the period from 2003 to 2023. Our objective is to quantify and compare volatility spillovers, and to investigate whether bank-specific characteristics explain them. We perform a dynamic connectedness analysis based on the estimation of a vector autoregression with time-varying parameters. Our results suggest that, with the exception of severe crisis periods, banks tend to transmit more spillovers than they absorb. Moreover, the magnitude of these spillovers is influenced by factors such as capital adequacy and the structure of banks' portfolios.
Subjects: 
sovereign spread
banks
volatility
connectedness measures
spillovers
time-varying parameters
VAR.
JEL: 
G01
G21
E60
H12
Document Type: 
Working Paper
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