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Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility

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Fernández-Rodríguez, Fernando and Gómez-Puig, Marta and Sosvilla-Rivero, Simón (2016) Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility. Journal of International Financial Markets, Institutions & Money, 43 . pp. 126-145. ISSN 1042-4431

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Official URL: http://dx.doi.org/10.1016/j.intfin.2016.04.005



Abstract

We measure the connectedness in EMU sovereign market volatility between April 1999 and January 2014, monitoring stress transmission and identifing episodes of intensive spillovers from one country to the others. We first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period using a framework recently proposed by Diebold and Yilmaz (2014). Second, we use a dynamic analysis to evaluate the net directional connectedness for each country and apply panel model techniques to investigate its determinants. Finally, we examine the time-varying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.


Item Type:Article
Uncontrolled Keywords:Sovereign debt crisis; Euro area; Connectedness analysis; Market linkages; Vector autoregression; Variance decomposition.
Subjects:Social sciences > Economics > Money
Social sciences > Economics > Stock exchanges
ID Code:55510
Deposited On:30 May 2019 12:17
Last Modified:30 May 2019 12:17

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