SNB research examines spillover risk in international equity portfolios

Swiss National Bank headquarters in Bern

A working paper published by the Swiss National Bank on April 23 examines risk spillovers in international equity markets.

The paper's authors, Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo, concentrate their research within two metrics: sector-only risk, which the authors define as risk spillover within equities that are within the same sector, and currency spillover, which they define as spillover from currencies to international equities.

The authors compare those specific spillover

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.centralbanking.com/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: