We investigate the dynamics of systemic risk of European companies using an approach that merges paradigmatic risk measures such as Marginal Expected Shortfall, CoVaR, and Delta CoVaR, with a Bayesian entropy estimation method. Our purpose is to bring to light potential spillover effects of the entropy indicator for the systemic risk measures computed on the 24 sectors that compose the STOXX 600 index. Our results show that several sectors have a high proclivity for generating spillovers. In general, the largest influences are delivered by Capital Goods, Banks, Diversified Financials, Insurance, and Real Estate. We also bring detailed evidence on the sectors that are the most pregnable to spillovers and on those that represent the main contributors of spillovers.
In this article, we aim to study systemic risk spillovers for European energy companies and to determine the spillover network of the energy sector with other economic sectors. To examine the spillovers within the energy sector, we employ three systemic risk measures. We then embed the results of these models into a Diebold–Yilmaz framework. Moreover, we consider an entropy procedure to extract a Bayesian formulation of its systemic risk spillover. This allows us to determine which company in our sample contributes the most to systemic risk, which company is the most vulnerable to systemic risk, and the place of the energy sector within risk networks. Our results reveal the fact that all companies manifest enhanced spillovers during 2008, early 2009, and 2020. These episodes are associated with the dynamics of the global financial crisis and the pandemic crisis. We notice that specific companies are risk drivers in the sector in both times of market turbulence and calm. Lastly, we observe that several economic sectors such as banks, capital goods, consumer services, and diversified financials generate relevant spillovers towards the energy sector.
The pattern of financial cycles in the European Union has direct impacts on financial stability and economic sustainability in view of adoption of the euro. The purpose of the article is to identify the degree of coherence of credit cycles in the countries potentially seeking to adopt the euro with the credit cycle inside the Eurozone. We first estimate the credit cycles in the selected countries and in the euro area (at the aggregate level) and filter the series with the Hodrick–Prescott filter for the period 1999Q1–2020Q4. Based on these values, we compute the indicators that define the credit cycle similarity and synchronicity in the selected countries and a set of entropy measures (block entropy, entropy rate, Bayesian entropy) to show the high degree of heterogeneity, noting that the manifestation of the global financial crisis has changed the credit cycle patterns in some countries. Our novel approach provides analytical tools to cope with euro adoption decisions, showing how the coherence of credit cycles can be increased among European countries and how the national macroprudential policies can be better coordinated, especially in light of changes caused by the pandemic crisis.
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