Theoretical and Applied Economics
No. 4 / 2025 (645), Winter
Dynamic risk spillovers in European Stock Markets: a TVP-VAR Approach
Faculty of Finance and Banking, Romania
Abstract. In this paper, we studied the propagation of risks in European capital markets based on 17 European stock market indices using the methodology proposed by Chatziantoniou et. al. (2021) of a TVP – VAR model and an approach to the levels of connection of variables. The study covers the period November 2001 – February 2025 and focuses on the returns and volatilities of stock market indices. We use a high frequency band (to measure the short term) and a low frequency (for the long term) to measure the level of connection. We observe that the level of interconnection of capital markets is high over the entire analyzed period, and risks propagate from Western European capital markets to Eastern European capital markets, both in terms of returns and volatility. In our opinion, this analysis contributes to understanding the dynamics of European capital markets and improving investors' portfolios.
Contents
Dynamic risk spillovers in European Stock Markets: a TVP-VAR Approach
Co-movement and causality among exchange rates: a wavelet analysis
Financial development and economic growth in emerging economies: the mediating role of entrepreneurship
House prices and macroprudential policy in the Romanian economy: evidence from a BVAR analysis
The impact of short-run and long-run dynamics on manufacturing sector development in Indonesia and Malaysia
Purchasing Power Parity theory in exchange rate determination: evidences from the G-20 nations
Assessment of external macroeconomic imbalances in Romania
Remittances and domestic demand: evidence from Romania
How do energy consumption, natural resources, trade openness and FDI affect environmental quality in Algeria? Fresh insights from the novel DYNARDL simulations and KRLS approach
The acceleration of education: professors, AI platforms and the transformation of learning and human growth
Poverty, unemployment, and mental health: differential impacts among university graduates in Kenya, South Africa, Uganda, and Zambia
Assessing the relationship between institutions and economic development
Cedi depreciation and petroleum price shocks: economic interlinkages and macroeconomic implications
Effects of climate change on food security and sustainable development in Saudi Arabia: Autoregressive Distributed Lag approach
Corruption in digital environments
Beyond linearity: an ARDL threshold analysis of inflation's impact on Tanzania's economic growth from 1994 to 2024
Sustainable consumption and experimental economics – a bibliometric analysis
Heterogeneous and dynamic impacts of growth, urbanization, deforestation, and energy intensity on environmental degradation in Africa using the MM-Quantile regression method
Institutional governance in developing countries, political factors as drivers of institutional change: evidence from sub-Saharan Africa