As the world is more and more globalized the economies are getting connected. During the crisis of 2007-2009 the financial markets experienced an increased connectedness like never before. In this paper I analyse the spillovers of bid-ask spreads, stock price skewness and volatilities of the largest U.S. banks. All these indicators are good proxies for systemic risk in the financial network. I measure the spillovers with the generalized VAR framework. The generalized VAR model solves the orthogonalization problem of the Cholesky-factorization and the results are independent of the order of the variables. I observe the spillovers from 2007 to 2009, the period of the crisis, and then from 2010 to 2018, the current period of expansion. The results show that, in line with the literature, spillovers during the crisis were significantly larger than the spillovers after. Furthermore, as the illiquidity spillover indices reacted more sensitively to financial turmoil I assume that illiquidity shocks spread more rapidly in the network of financial institutions and they are a powerful measures to detect distress.
