Skip to main content
Journal of Mathematics in Industry

Table 7 Spillover (net, from and to) between pension funds and market indices 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

Net

From

To

Net

From

To

Net

From

To

Net

From

To

Allianz_54.60

−2.10

0.03

2.13

−2.01

0.07

2.08

−2.10

0.02

2.13

−2.12

0.002

2.12

Allianz_61.67

−2.06

0.07

2.13

−1.60

0.52

2.12

−2.09

0.04

2.13

−2.11

0.01

2.12

Allianz_68.74

−2.01

0.12

2.12

−1.93

0.16

2.10

−2.09

0.03

2.12

−2.12

0.01

2.12

Allianz_75.81

−1.54

0.58

2.12

−1.49

0.60

2.09

−1.11

1.01

2.12

−1.43

0.69

2.12

Allianz_82.88

−1.65

0.46

2.12

−1.57

0.56

2.13

−0.42

1.66

2.12

−1.60

0.53

2.12

Allianz_89.95

−1.78

0.34

2.12

−1.49

0.55

2.04

−2.04

0.09

2.12

−2.10

0.01

2.12

Allianz_96.02

−2.09

0.04

2.13

−2.09

0.02

2.12

−2.11

0.01

2.13

−2.07

0.001

2.07

Allianz_T

−2.12

0.01

2.13

−2.09

0.005

2.09

−2.12

0.01

2.13

−2.12

0.001

2.13

INVL_54.60

−2.11

0.02

2.13

−2.08

0.03

2.12

−2.11

0.02

2.13

−2.12

0.004

2.12

INVL_61.67

−1.93

0.19

2.12

−0.65

1.34

1.99

−1.74

0.39

2.12

−1.16

0.95

2.11

INVL_68.74

0.01

2.09

2.09

4.82

6.79

1.97

1.04

3.09

2.09

2.68

4.61

1.92

INVL_75.81

0.60

2.68

2.07

7.46

9.13

1.67

5.89

7.90

2.07

0.57

2.70

2.12

INVL_82.88

15.97

17.74

1.77

3.91

5.77

1.87

11.49

13.42

1.77

9.94

11.77

1.84

INVL_89.95

36.66

37.92

1.26

3.11

5.23

2.13

11.27

13.13

1.26

17.55

19.00

1.45

INVL_96.02

1.62

3.65

2.03

5.16

7.15

1.98

−1.77

0.35

2.03

2.59

4.60

2.00

INVL_T

−2.12

0.01

2.13

−2.09

0.03

2.12

−2.09

0.04

2.13

−2.11

0.01

2.12

Luminor_54.60

−2.08

0.05

2.13

−2.03

0.07

2.10

−2.12

0.004

2.13

−2.10

0.02

2.12

Luminor_61.67

−1.96

0.16

2.12

−1.64

0.42

2.06

−2.05

0.07

2.12

−1.84

0.29

2.13

Luminor_68.74

−1.74

0.38

2.12

−1.40

0.70

2.10

−1.77

0.35

2.12

−1.80

0.32

2.12

Luminor_75.81

−1.54

0.58

2.12

−1.16

0.96

2.12

−1.84

0.28

2.12

−0.46

1.61

2.08

Luminor_82.88

−1.90

0.22

2.12

−1.48

0.65

2.13

−1.85

0.27

2.12

2.16

4.27

2.11

Luminor_89.95

−2.08

0.04

2.13

−2.09

0.02

2.11

2.50

4.50

2.13

−1.10

1.02

2.12

Luminor_96.02

−1.94

0.18

2.12

−2.00

0.11

2.12

0.81

2.85

2.12

−1.95

0.17

2.12

Luminor_T

−2.11

0.02

2.13

−2.07

0.01

2.08

−2.11

0.02

2.13

−2.12

0.002

2.12

SEB_54.60

−2.10

0.03

2.13

−1.96

0.16

2.13

−2.04

0.08

2.13

−2.09

0.03

2.12

SEB_61.67

−1.96

0.17

2.12

−1.42

0.68

2.10

−1.58

0.54

2.12

−1.93

0.19

2.13

SEB_68.74

−1.72

0.40

2.12

−0.98

1.15

2.13

−2.11

0.02

2.12

−1.12

0.97

2.09

SEB_75.81

−2.11

0.02

2.13

−1.87

0.25

2.13

3.09

5.08

2.13

7.10

8.97

1.88

SEB_82.88

1.15

3.22

2.07

1.94

3.95

2.02

−0.77

1.33

2.07

20.18

21.52

1.34

SEB_89.95

6.77

8.73

1.96

4.09

6.15

2.06

10.32

12.20

1.96

5.39

7.29

1.90

SEB_96.02

0.15

2.23

2.08

−1.26

0.81

2.07

8.10

9.99

2.08

−1.71

0.39

2.10

SEB_T

−2.11

0.02

2.13

−1.94

0.15

2.09

−2.13

0.002

2.13

−2.12

0.004

2.13

Swedbank_54.60

−1.99

0.14

2.12

−1.59

0.52

2.11

−1.68

0.43

2.12

−2.10

0.02

2.12

Swedbank_61.67

−1.78

0.34

2.12

−1.16

0.90

2.06

−0.94

1.17

2.12

−2.00

0.12

2.12

Swedbank_68.74

−1.79

0.34

2.12

−1.93

0.18

2.11

−1.86

0.25

2.12

−0.88

1.22

2.11

Swedbank_75.81

1.94

3.99

2.05

15.49

17.20

1.71

8.40

10.20

2.05

−1.19

0.90

2.09

Swedbank_82.88

6.96

8.87

1.92

19.96

21.77

1.81

4.14

6.01

1.92

−1.06

1.03

2.09

Swedbank_89.95

−0.42

1.67

2.09

−0.56

1.51

2.07

−1.61

0.51

2.09

−0.59

1.51

2.10

Swedbank_96.02

−2.09

0.04

2.13

−1.83

0.28

2.10

−1.89

0.23

2.13

−2.00

0.12

2.12

Swedbank_T

−2.09

0.04

2.13

−1.98

0.12

2.10

−2.09

0.04

2.13

−2.12

0.003

2.13

SnP500

−2.12

0.01

2.13

−2.10

0.01

2.11

−2.11

0.01

2.13

−2.11

0.01

2.12

Stoxx600

−2.11

0.02

2.13

−2.05

0.06

2.11

−2.11

0.02

2.13

−2.12

0.001

2.12

N100

−2.12

0.01

2.13

−2.08

0.02

2.10

−2.12

0.01

2.13

−2.11

0.005

2.12

N225

−2.13

0.001

2.13

−2.11

0.01

2.11

−2.12

0.004

2.13

−2.13

0.000

2.13

MSCI_world

−2.12

0.01

2.13

−2.02

0.08

2.10

−2.10

0.02

2.13

−2.10

0.02

2.12

EURO_bonds

−2.12

0.004

2.13

−2.05

0.003

2.06

−2.12

0.004

2.13

−2.11

0.000

2.11

FVX

−2.13

0.001

2.13

−2.07

0.002

2.07

−2.13

0.0002

2.13

−2.13

0.001

2.13

Back to article page