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 6 Spillover (net, from and to) between pension funds using VECM model with full cointegration

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	−2.44	0.06	2.50	−2.37	0.09	2.47	−2.49	0.01	2.50	−2.49	0.005	2.50
Allianz_61.67	−2.36	0.13	2.50	−2.08	0.41	2.50	−2.48	0.01	2.49	−2.46	0.04	2.50
Allianz_68.74	−2.06	0.42	2.48	−2.17	0.33	2.50	−2.34	0.16	2.50	−2.16	0.31	2.47
Allianz_75.81	−1.51	0.98	2.49	−0.45	1.95	2.40	0.90	3.34	2.44	−2.12	0.38	2.50
Allianz_82.88	−1.09	1.38	2.48	−0.98	1.52	2.50	0.24	2.69	2.45	−1.64	0.83	2.47
Allianz_89.95	−1.60	0.89	2.48	−1.44	0.96	2.40	−2.28	0.18	2.47	−2.16	0.32	2.48
Allianz_96.02	−2.45	0.05	2.50	−2.36	0.13	2.49	−2.42	0.07	2.50	−2.44	0.05	2.49
Allianz_T	−2.47	0.03	2.50	−2.48	0.01	2.49	−2.49	0.003	2.50	−2.50	0.001	2.50
INVL_54.60	−2.46	0.04	2.50	−2.45	0.04	2.49	−2.49	0.01	2.50	−2.50	0.001	2.50
INVL_61.67	−1.44	1.03	2.47	−1.53	0.82	2.35	−2.31	0.18	2.50	−2.44	0.06	2.50
INVL_68.74	4.53	6.87	2.34	1.75	4.14	2.39	−1.64	0.86	2.50	−2.28	0.21	2.49
INVL_75.81	7.38	9.69	2.31	3.66	5.71	2.04	−1.17	1.30	2.47	5.31	7.32	2.01
INVL_82.88	11.66	13.84	2.19	3.65	5.91	2.26	−0.65	1.85	2.49	10.50	12.22	1.71
INVL_89.95	27.94	29.86	1.92	13.47	15.92	2.45	−0.95	1.49	2.44	−1.47	0.98	2.45
INVL_96.02	0.23	2.62	2.38	7.53	9.81	2.29	−1.37	1.13	2.50	−2.25	0.24	2.49
INVL_T	−2.47	0.03	2.50	−2.47	0.02	2.49	−2.50	0.004	2.50	−2.49	0.01	2.50
Luminor_54.60	−2.42	0.08	2.50	−2.39	0.07	2.46	−2.49	0.01	2.50	−2.48	0.02	2.50
Luminor_61.67	−1.74	0.75	2.49	−1.97	0.44	2.42	−2.32	0.18	2.50	−2.45	0.04	2.49
Luminor_68.74	−1.56	0.92	2.48	−1.48	0.92	2.40	−2.48	0.02	2.50	−2.04	0.44	2.48
Luminor_75.81	−1.73	0.75	2.49	−2.16	0.32	2.48	−2.37	0.13	2.50	−1.71	0.77	2.48
Luminor_82.88	−1.60	0.88	2.48	−1.24	1.26	2.50	−1.82	0.66	2.48	−2.02	0.47	2.49
Luminor_89.95	−2.39	0.11	2.50	−2.45	0.02	2.48	−2.20	0.30	2.50	−2.14	0.36	2.49
Luminor_96.02	−2.36	0.14	2.50	−2.37	0.11	2.49	−2.41	0.09	2.49	−2.19	0.30	2.49
Luminor_T	−2.45	0.05	2.50	−2.42	0.02	2.44	−2.50	0.002	2.50	−2.49	0.01	2.50
SEB_54.60	−2.36	0.13	2.50	−2.27	0.22	2.50	−2.41	0.09	2.50	−2.48	0.02	2.50
SEB_61.67	−2.02	0.47	2.49	−1.24	1.16	2.40	−2.00	0.48	2.48	−2.27	0.23	2.50
SEB_68.74	−1.37	1.10	2.48	−1.49	1.01	2.50	−1.95	0.54	2.49	−1.47	0.97	2.44
SEB_75.81	−2.44	0.06	2.50	−2.36	0.14	2.50	0.24	2.68	2.44	−0.51	1.92	2.43
SEB_82.88	−0.32	2.12	2.44	2.41	4.71	2.29	−2.44	0.06	2.50	8.00	10.36	2.36
SEB_89.95	0.55	2.96	2.41	2.98	5.40	2.42	−1.10	1.36	2.45	14.52	16.91	2.39
SEB_96.02	−1.52	0.95	2.47	−2.20	0.26	2.46	−2.39	0.11	2.50	3.87	6.17	2.29
SEB_T	−2.48	0.02	2.50	−2.37	0.08	2.46	−2.47	0.02	2.50	−2.50	0.001	2.50
Swedbank_54.60	−2.23	0.27	2.50	−2.13	0.34	2.48	−2.47	0.03	2.50	−2.41	0.09	2.50
Swedbank_61.67	−1.99	0.49	2.48	−1.70	0.74	2.44	−2.07	0.42	2.49	−2.44	0.06	2.50
Swedbank_68.74	−1.56	0.92	2.47	−2.15	0.33	2.47	−2.22	0.26	2.49	−2.19	0.31	2.50
Swedbank_75.81	3.78	6.14	2.36	10.50	12.48	1.97	−1.37	1.09	2.46	10.06	12.33	2.26
Swedbank_82.88	6.70	8.95	2.25	14.55	16.61	2.05	8.69	10.87	2.18	16.07	18.41	2.34
Swedbank_89.95	−1.23	1.23	2.46	−0.55	1.79	2.34	54.04	55.05	1.01	−0.66	1.79	2.46
Swedbank_96.02	−2.37	0.13	2.50	−2.35	0.13	2.48	7.45	9.67	2.22	−0.08	2.37	2.45
Swedbank_T	−2.28	0.21	2.49	−2.40	0.05	2.45	−2.50	0.003	2.50	−2.42	0.07	2.49

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