.../methodology/approach This study conducts, for the first time, an analysis of the spillover effects resulting from a shock to Italian sovereign risk on the banking systems and credit default swaps (CDS) of five EMU core countries during the period 2012–2018, employing a global vector autoregressive (GVAR...

... for the existence of dominant economies in the system. Design/methodology/approach In this study, the authors employ a Network General Equilibrium GVAR (global vector autoregressive) model. Findings By accounting for the interconnection among the top twelve military spenders, the authors' findings show...

..., the paper studies a wide period, namely 1992–2015, fully capturing the recent global recession, while acknowledging the impact of the global crisis through the introduction of the relevant exogenous dummy variables; Lastly and most importantly, it is the first study to apply the GVAR approach in a network...