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Título:
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Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
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Autores:
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Fernández-Rodríguez, Fernando ;
Gómez-Puig, Marta ;
Sosvilla-Rivero, Simón
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Tipo de documento:
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texto impreso
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Editorial:
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Instituto Complutense de Estudios Internacionales ICEI, 2015
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias Sociales: Economía: Dinero
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Materia = Ciencias Sociales: Economía: Mercados bursátiles y financieros
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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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 Y?lmaz (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.
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En línea:
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https://eprints.ucm.es/37281/1/WP15-01.pdf
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