Volatility Spillover Effects in the Moroccan Interbank Sector before and during the COVID-19 Crisis

Volatility Spillover Effects in the Moroccan Interbank Sector before and during the COVID-19 Crisis

The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 pandemic crisis using the DY model. Specifically, this study assesses the impact of the recent COVID-19 outbreak on the transmission of volatility among Moroccan...

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Bibliographic Details
Main Authors: Mohamed Beraich, Salah Eddin El Main
Format: Article
Language:English
Published: MDPI AG 2022-06-01
Series:Risks
Subjects:
systemic risk
financial contagion
systemically important financial institutions
volatility
vector autoregression model
variance decomposition
Online Access:https://www.mdpi.com/2227-9091/10/6/125

Internet

https://www.mdpi.com/2227-9091/10/6/125

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