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Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis



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Fernández-Rodríguez, Fernando and Gómez-Puig, Marta and Sosvilla-Rivero, Simón (2015) Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis. [ Working Papers; nº 01, 2015, ]

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Official URL: http://eprints.ucm.es/37281/


This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yılmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each country and apply panel model techniques to investigate its determinants. Finally, to gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.

Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Sovereign debt crisis; Euro area; Market linkages; Vector autoregression; Variance decomposition
Subjects:Social sciences > Economics > Money
Social sciences > Economics > Stock exchanges
JEL:C53, E44, F36, G15
Series Name:Working Papers
ID Code:37281
Deposited On:25 Apr 2016 06:56
Last Modified:24 Apr 2018 12:32

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