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Autor Gómez-Puig, Marta |
Documentos disponibles escritos por este autor (27)
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Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2017In this paper we analyse the effects of all sources of the accumulation of nonfinancial debt (household, corporate as well as government) on economic growth in ten euro-area countries during the 1980-2015 period. To this end, we make use of thre[...]texto impreso
This article uses the DCC-generalized autoregressive conditional heteroskedasticity model to investigate the existence of time-varying correlations between public debt and economic growth. To that end, we use annual data from both central and pe[...]texto impreso
Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales | 2017This paper empirically investigates the short and long run impact of public debt on economic growth. We use annual data from both central and peripheral countries of the euro area (EA) for the 1961-2013 period and estimate a production function [...]texto impreso
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This study attempts to identify and trace inter-linkages between sovereign and banking risk for each main country in the euro area. To this end, we use an indicator of banking sector risk in each country based on the Contingent Claim Analysis li[...]texto impreso
Gómez-Puig, Marta ; Sosvilla-Rivero, Simón ; Singh, Manish K. | Asociación Española de Economía y Finanzas Internacionales | 2015-01This study attempts to identify and trace inter-linkages between sovereign and banking risk in the euro area. To this end, we use an indicator of banking risk in each country based on the Contingent Claim Analysis literature, and 10-year governm[...]texto impreso
New evidence is presented on the possible existence of bi-directional causal relationships between public debt and economic growth in both central and peripheral countries of the European Economic and Monetary Union. We test for heterogeneity in[...]texto impreso
Afat, Dinçer ; Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Asociación Española de Economía y Finanzas Internacionales | 2015-03In this paper, we test three popular versions of the monetary model (flexible price, forward-looking and real interest differential models) for the OECD member countries by applying Johansen cointegration technique. Based on country-by-country a[...]texto impreso
New evidence is presented on the nexus between the sovereign and banking sector risk. Applying the contingent claims methodology to the peripheral euro area countries over the 2004Q4-2013Q2 period, we build indicators of sovereign and bank risk [...]texto impreso
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 dyn[...]texto impreso
Fernández-Rodríguez, Fernando ; Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Asociación Española de Economía y Finanzas Internacionales | 2015-02We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Y?lmaz (2012). Second, we make use of [...]texto impreso
Fernández-Rodríguez, Fernando ; Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2015We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Y?lmaz (2012). Second, we make use of [...]