Systemic risk assessment of Lithuanian second-pillar pension funds through connectedness and spillover

Kabašinskas, Audrius

doi:10.1186/s13362-024-00144-x

Journal of Mathematics in Industry

Table 13 Spillover (net, from and to) using VAR model

From: Systemic risk assessment of Lithuanian second-pillar pension funds through connectedness and spillover

Fund	Entire period			Regime 1			Regime 2			Regime 4
Fund	Net	From	To	Net	From	To	Net	From	To	Net	From	To
Allianz_54.60	−2.45	0.05	2.50	−2.46	0.04	2.50	−2.47	0.03	2.50	−2.49	0.01	2.50
Allianz_61.67	−2.25	0.25	2.49	−2.23	0.26	2.49	−2.42	0.08	2.50	−2.43	0.07	2.50
Allianz_68.74	−2.14	0.35	2.49	−1.79	0.70	2.49	−2.18	0.31	2.49	−2.30	0.19	2.50
Allianz_75.81	−1.61	0.86	2.48	−0.28	2.18	2.46	−0.74	1.72	2.46	−1.97	0.52	2.49
Allianz_82.88	−1.78	0.70	2.48	−1.75	0.74	2.49	−0.39	2.06	2.45	−1.01	1.44	2.45
Allianz_89.95	−1.76	0.72	2.48	−2.24	0.26	2.49	−2.08	0.42	2.49	−2.02	0.46	2.48
Allianz_96.02	−2.43	0.06	2.50	−2.47	0.03	2.50	−2.43	0.06	2.50	−2.48	0.02	2.50
Allianz_T	−2.48	0.01	2.50	−2.49	0.01	2.50	−2.50	0.005	2.50	−2.50	0.00	2.50
INVL_54.60	−2.45	0.05	2.50	−2.43	0.06	2.49	−2.45	0.05	2.50	−2.47	0.03	2.50
INVL_61.67	−1.66	0.81	2.47	−0.78	1.64	2.42	−2.07	0.42	2.49	−2.21	0.29	2.49
INVL_68.74	2.79	5.14	2.35	1.35	3.68	2.33	−0.82	1.64	2.45	−1.27	1.20	2.48
INVL_75.81	4.95	7.24	2.28	2.45	4.77	2.32	19.88	21.87	1.99	11.62	13.60	1.98
INVL_82.88	11.88	13.97	2.10	16.21	18.33	2.12	14.19	16.32	2.13	16.09	18.02	1.93
INVL_89.95	13.79	15.87	2.08	27.34	29.23	1.89	0.69	3.10	2.41	7.08	9.44	2.36
INVL_96.02	−0.77	1.69	2.46	2.53	4.83	2.31	0.47	2.86	2.39	−1.31	1.17	2.48
INVL_T	−2.47	0.02	2.50	−2.47	0.02	2.49	−2.49	0.01	2.50	−2.49	0.01	2.50
Luminor_54.60	−2.45	0.05	2.50	−2.41	0.08	2.49	−2.47	0.03	2.50	−2.49	0.01	2.50
Luminor_61.67	−1.92	0.56	2.48	−1.91	0.58	2.49	−2.19	0.30	2.50	−2.40	0.10	2.50
Luminor_68.74	−0.91	1.54	2.45	−1.88	0.61	2.49	−2.10	0.38	2.48	−2.14	0.35	2.49
Luminor_75.81	−1.26	1.21	2.47	−1.46	1.03	2.49	−1.36	1.09	2.45	−0.44	2.01	2.46
Luminor_82.88	−1.42	1.05	2.47	−1.91	0.59	2.49	−0.90	1.53	2.42	−1.32	1.15	2.47
Luminor_89.95	−2.37	0.13	2.50	−2.47	0.02	2.50	−1.05	1.39	2.44	−2.21	0.28	2.49
Luminor_96.02	−2.28	0.22	2.49	−2.16	0.33	2.49	−2.14	0.35	2.49	−2.45	0.05	2.50
Luminor_T	−2.47	0.03	2.50	−2.47	0.02	2.49	−2.49	0.01	2.50	−2.49	0.01	2.50
SEB_54.60	−2.42	0.07	2.50	−2.37	0.13	2.49	−2.45	0.04	2.50	−2.46	0.04	2.50
SEB_61.67	−1.98	0.50	2.48	−1.91	0.58	2.48	−2.11	0.38	2.49	−2.24	0.25	2.49
SEB_68.74	−0.69	1.77	2.45	−0.81	1.65	2.46	−0.51	1.96	2.46	−1.78	0.70	2.48
SEB_75.81	−2.45	0.04	2.50	−2.47	0.02	2.49	3.22	5.62	2.40	6.10	8.39	2.29
SEB_82.88	3.01	5.37	2.36	−0.11	2.37	2.48	−1.92	0.56	2.48	15.19	17.26	2.07
SEB_89.95	4.52	6.83	2.31	0.12	2.57	2.46	1.32	3.76	2.44	2.45	4.85	2.41
SEB_96.02	−0.52	1.93	2.45	−1.25	1.21	2.46	−1.43	1.06	2.48	−0.79	1.67	2.46
SEB_T	−2.48	0.02	2.50	−2.43	0.06	2.49	−2.49	0.01	2.50	−2.50	0.00	2.50
Swedbank_54.60	−2.14	0.35	2.49	−2.10	0.35	2.46	−2.39	0.11	2.50	−2.33	0.16	2.50
Swedbank_61.67	−1.68	0.80	2.48	−1.26	1.20	2.46	−1.77	0.72	2.49	−1.99	0.50	2.49
Swedbank_68.74	−0.41	2.05	2.46	2.05	4.42	2.37	−1.79	0.69	2.48	−1.99	0.50	2.49
Swedbank_75.81	5.68	8.00	2.32	3.73	6.02	2.29	3.30	5.60	2.31	3.25	5.62	2.37
Swedbank_82.88	11.36	13.55	2.19	1.35	3.82	2.47	4.75	7.04	2.28	1.95	4.36	2.40
Swedbank_89.95	0.81	3.25	2.44	0.48	2.94	2.46	9.59	11.76	2.16	−0.36	2.09	2.45
Swedbank_96.02	−2.34	0.16	2.50	−2.43	0.06	2.49	−0.38	2.06	2.44	−1.92	0.56	2.49
Swedbank_T	−2.35	0.15	2.50	−2.40	0.08	2.48	−2.45	0.04	2.50	−2.48	0.02	2.50

Note: The cross correlation elements in this table are not set to 0.

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