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Country-Specific Analysis
Select a country from the dropdown list below:
The horizontal axis of each panel shows the quantile index multiplied by 100. The vertical axis measures spillover activity in percent
The upper panel reports the net spillover for the sovereign (the heavy line) and for the financial sector (the fine line) for the selected country
A positive net spillover indicates that an entity is a net transmitter of credit risk shocks while a negative values indicates a net recipient
Italy and Spain stand out as major net transmitters of credit risk shocks in both tails
The lower panel reports the bidirectional spillover between the financial sector and the sovereign for the selected country
An intensification of the bidirectional spillover effect in both tails indicates that there is a feedback loop which may generate destablising spirals when adverse shocks occur but which may also act in a stabilising manner when beneficial shocks occur