Información del autor
Autor Sosvilla-Rivero, Simón |
Documentos disponibles escritos por este autor (77)
![](./images/expand_all.gif)
![](./images/collapse_all.gif)
![Selecciones disponibles](./images/orderby_az.gif)
![]()
texto impreso
![]()
texto impreso
This paper examines real exchange rate (RER) volatility in eighty countries around the world, during the period 1970 to 2011. Two main questions are raised: are structural breaks in RER volatility related to changes in exchange-rate regimes or f[...]![]()
texto impreso
Morales-Zumaquero, Amalia ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2013This paper examines the sources of real exchange rate (RER) volatility in eighty countries around the world, during the period 1970 to 2011. Our main goal is to explore the role of nominal exchange rate regimes and financial crises in explaining[...]![]()
texto impreso
Hussain Shaha, Imran ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2017We propose an Economic Stability Index (ESI) incorporating house prices and stock prices as components of the measure of the inflation rate in order to allow the European Central Bank (ECB) to achieve both price and macroeconomic stability. We u[...]![]()
texto impreso
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
This paper attempts to determine whether or not nominal exchange rate regimes affect the volatility of bilateral and effective real exchange rates. To that end, we examine the real exchange rate behaviour for a set of OECD and non-OECD countries[...]![]()
texto impreso
Echevarria-Icaza, Victor ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2017This paper shows that systemic banks are prone to increase their regulatory capital ratio through a decline in risk-weighted assets density and an intense use of lower level capital. The market access of systemic banks, and the fact that they we[...]![]()
texto impreso
This article analyses the effect of the introduction of temporary ban on short positions in the Spanish market on the volatility of both the closing price and the trading volume of the underlying index as well as on the price of the main financi[...]![]()
texto impreso
Bajo-Rubio, Oscar ; Sosvilla-Rivero, Simón | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1993En este trabajo se ofrece una panorámica de las principales aportaciones teóricas a la literatura sobre la determinación de los tipos de cambio. Se examinan sucesivamente la hipótesis de la paridad del poder adquisitivo, el modelo tradicional d[...]![]()
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
This article attempts to determine whether or not the introduction of the euro affected the volatility of major bilateral exchange rates. To this end, we examine the exchange rate behaviour for a set of Organization for Economic Co-operation and[...]![]()
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 present a model to forecast the probability of bear markets in the Spanish IBEX 35 with a congruent and concise parameterization which selects the explanatory factors from a wide set of variables like the yield curve of Spain, US and Europe, [...]![]()
texto impreso
Sosvilla-Rivero, Simón ; Ramos-Herrera, María del Carmen | Instituto Complutense de Estudios Internacionales | 2011-07This paper test for causality between the US Dollar-Euro exchange rate and US-EMU bond yield differentials. To that end, we apply Hsiao (1981)’s sequential procedure to daily data covering the 1999-2011 period. Our results suggest the existence [...]![]()
texto impreso
This article examines the impact on the US dollar–euro (USD–EUR) exchange rate of the unconventional monetary policy conducted by the US Federal Reserve (Fed) and the European Central Bank (ECB). To that end, we make use of time-series analysis [...]![]()
texto impreso
New evidence is presented on the impact on the US dollar–euro (USD–EUR) exchange rate of the unconventional monetary policy conducted by the US Federal Reserve (FED) and the European Central Bank (ECB). To that end, we employ an event study appr[...]![]()
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
Sosvilla-Rivero, Simón ; Morales-Zumaquero, Amalia | Instituto Complutense de Estudios Internacionales | 2011-07This paper explores the evolving relationship in the volatility of sovereign yields in the European Economic and Monetary Union (EMU). To that end, we examine the behaviour for daily yields for 11 EMU countries (EMU-11), during the 2001-2010 per[...]![]()
texto impreso
This paper empirically analyses the evidence of intra-spillovers and inter-spillovers between foreign exchange and stock markets in the seven economies which constitute the majority of foreign exchange transactions (i.e. the United Kingdom, the [...]![]()
texto impreso
Morales-Zumaquero, Amalia ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2017This paper empirically analyses the evidence of intra-spillovers and inter-spillovers between foreign exchange and stock markets in the seven economies which concentrate the majority of foreign exchange transactions (i.e. United Kingdom, Euro ar[...]![]()
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 [...]![]()
texto impreso
Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2016This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measu[...]