Measuring systemic risk during the COVID-19 period: A TALIS(3) approach

The rapid spread of COVID-19 has had severe impacts on financial markets. We analyzed the systemic impact of the COVID-19 pandemic in different supersectors of STOXX600 North America and the STOXX600 Europe, using the TrAffic Light System for Systemic Stress (TALIS [Formula: see text]) approach whic...

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Autores principales: Caporin, Massimiliano, Garcia-Jorcano, Laura, Jimenez-Martin, Juan-Angel
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8986525/
https://www.ncbi.nlm.nih.gov/pubmed/35411205
http://dx.doi.org/10.1016/j.frl.2021.102304
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author Caporin, Massimiliano
Garcia-Jorcano, Laura
Jimenez-Martin, Juan-Angel
author_facet Caporin, Massimiliano
Garcia-Jorcano, Laura
Jimenez-Martin, Juan-Angel
author_sort Caporin, Massimiliano
collection PubMed
description The rapid spread of COVID-19 has had severe impacts on financial markets. We analyzed the systemic impact of the COVID-19 pandemic in different supersectors of STOXX600 North America and the STOXX600 Europe, using the TrAffic Light System for Systemic Stress (TALIS [Formula: see text]) approach which provides a comprehensive color-based classification for grouping sectors according to system and sector stress level. We contrasted the financial markets’ reaction in North America and Europe, noticing that in Europe the systemic impact has been more persistent during March–May 2021. By evaluating the sectorial contribution to market risk, we observed heterogeneity between North America and Europe.
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spelling pubmed-89865252022-04-07 Measuring systemic risk during the COVID-19 period: A TALIS(3) approach Caporin, Massimiliano Garcia-Jorcano, Laura Jimenez-Martin, Juan-Angel Financ Res Lett Article The rapid spread of COVID-19 has had severe impacts on financial markets. We analyzed the systemic impact of the COVID-19 pandemic in different supersectors of STOXX600 North America and the STOXX600 Europe, using the TrAffic Light System for Systemic Stress (TALIS [Formula: see text]) approach which provides a comprehensive color-based classification for grouping sectors according to system and sector stress level. We contrasted the financial markets’ reaction in North America and Europe, noticing that in Europe the systemic impact has been more persistent during March–May 2021. By evaluating the sectorial contribution to market risk, we observed heterogeneity between North America and Europe. Elsevier Inc. 2022-05 2021-07-17 /pmc/articles/PMC8986525/ /pubmed/35411205 http://dx.doi.org/10.1016/j.frl.2021.102304 Text en © 2022 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Caporin, Massimiliano
Garcia-Jorcano, Laura
Jimenez-Martin, Juan-Angel
Measuring systemic risk during the COVID-19 period: A TALIS(3) approach
title Measuring systemic risk during the COVID-19 period: A TALIS(3) approach
title_full Measuring systemic risk during the COVID-19 period: A TALIS(3) approach
title_fullStr Measuring systemic risk during the COVID-19 period: A TALIS(3) approach
title_full_unstemmed Measuring systemic risk during the COVID-19 period: A TALIS(3) approach
title_short Measuring systemic risk during the COVID-19 period: A TALIS(3) approach
title_sort measuring systemic risk during the covid-19 period: a talis(3) approach
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8986525/
https://www.ncbi.nlm.nih.gov/pubmed/35411205
http://dx.doi.org/10.1016/j.frl.2021.102304
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