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

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Fernández-Rodríguez, Fernando y Gómez-Puig, Marta y 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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URL Oficial: http://eprints.sim.ucm.es/37281/


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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.


Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Sovereign debt crisis; Euro area; Market linkages; Vector autoregression; Variance decomposition
Materias:Ciencias Sociales > Economía > Dinero
Ciencias Sociales > Economía > Mercados bursátiles y financieros
JEL:C53, E44, F36, G15
Título de serie o colección:Working Papers
Volumen:2015
Número:01
Código ID:37281
Depositado:25 Abr 2016 06:56
Última Modificación:20 Feb 2017 13:26

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