This study analyzes systemic risk contagion across the euro area by employing the Diebold-Yilmaz and the frequency connectedness methodologies with data from January 1, 1999, to January 25, 2021. We use the daily Composite Indicator of Systemic Stress (CISS) series for 11 countries in the euro area developed by Holló et al. (2012) and calculate the overall connectedness between the series by employing two pioneering approaches. Additionally, we estimate the short-, medium-, and long-cycle connectedness of systemic risk over the study period that covers three financial burst periods: the global financial crisis (GFC), the European sovereign debt crisis (ESDC), and the COVID-19 pandemic. Overall, spillover indexes notably rise around well-known financial/geopolitical events over the study period. Finally, we examine the network connectedness of systemic risk spillovers during the GFC, the ESDC, and COVID-19 periods and thereby compare them. Our results highlight an efficient regulatory mechanism to control systemic risk contagion.

本研究采用 Diebold-Yilmaz 和频率连通性方法对 1999 年 1 月 1 日至 2021 年 1 月 25 日的数据进行分析，分析整个欧元区的系统性风险蔓延。我们使用系统性压力 (CISS) 系列的每日综合指标 11由Holló 等人开发的欧元区国家。（2012）并通过采用两种开创性的方法计算系列之间的整体连通性。此外，我们估计了研究期间系统性风险的短、中、长周期关联性，涵盖三个金融爆发期：全球金融危机 (GFC)、欧洲主权债务危机 (ESDC) 和 COVID -19 大流行。总体而言，溢出指数在研究期间围绕着名的金融/地缘政治事件显着上升。最后，我们检查了 GFC、ESDC 和 COVID-19 期间系统性风险溢出的网络连通性，从而对它们进行了比较。我们的研究结果强调了一种有效的监管机制来控制系统性风险传染。