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

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 measur...

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Detalhes bibliográficos
Autores: Fernández-Rodríguez, Fernando, Gómez-Puig, Marta, Sosvilla Rivero, Simón Javier
Formato: informe técnico
Fecha de publicación:2015
País:España
Recursos:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/27502
Acesso em linha:https://hdl.handle.net/20.500.14352/27502
Access Level:acceso abierto
Palavra-chave:C53
E44
F36
G15
Sovereign debt crisis
Euro area
Market Linkages
Vector Autoregression
Variance Decomposition
Econometría (Economía)
Economía internacional
Economía pública
Mercados bursátiles y financieros
5302 Econometría
5310 Economía Internacional
id ES_c98aca509a76f143fa83420f43ed4e40
oai_identifier_str oai:docta.ucm.es:20.500.14352/27502
network_acronym_str ES
network_name_str España
repository_id_str
spelling Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysisFernández-Rodríguez, FernandoGómez-Puig, MartaSosvilla Rivero, Simón JavierC53E44F36G15Sovereign debt crisisEuro areaMarket LinkagesVector AutoregressionVariance DecompositionEconometría (Economía)Economía internacionalEconomía públicaMercados bursátiles y financieros5302 Econometría5310 Economía InternacionalThis 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 timevarying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.Asociación Española de Economía y Finanzas InternacionalesUniversidad Complutense de Madrid20152015-01-0120152015-01-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/27502reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/275022026-06-02T12:44:21Z
dc.title.none.fl_str_mv Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
title Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
spellingShingle Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
Fernández-Rodríguez, Fernando
C53
E44
F36
G15
Sovereign debt crisis
Euro area
Market Linkages
Vector Autoregression
Variance Decomposition
Econometría (Economía)
Economía internacional
Economía pública
Mercados bursátiles y financieros
5302 Econometría
5310 Economía Internacional
title_short Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
title_full Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
title_fullStr Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
title_full_unstemmed Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
title_sort Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
dc.creator.none.fl_str_mv Fernández-Rodríguez, Fernando
Gómez-Puig, Marta
Sosvilla Rivero, Simón Javier
author Fernández-Rodríguez, Fernando
author_facet Fernández-Rodríguez, Fernando
Gómez-Puig, Marta
Sosvilla Rivero, Simón Javier
author_role author
author2 Gómez-Puig, Marta
Sosvilla Rivero, Simón Javier
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv C53
E44
F36
G15
Sovereign debt crisis
Euro area
Market Linkages
Vector Autoregression
Variance Decomposition
Econometría (Economía)
Economía internacional
Economía pública
Mercados bursátiles y financieros
5302 Econometría
5310 Economía Internacional
topic C53
E44
F36
G15
Sovereign debt crisis
Euro area
Market Linkages
Vector Autoregression
Variance Decomposition
Econometría (Economía)
Economía internacional
Economía pública
Mercados bursátiles y financieros
5302 Econometría
5310 Economía Internacional
description 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 timevarying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.
publishDate 2015
dc.date.none.fl_str_mv 2015
2015-01-01
2015
2015-01-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/27502
url https://hdl.handle.net/20.500.14352/27502
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Asociación Española de Economía y Finanzas Internacionales
publisher.none.fl_str_mv Asociación Española de Economía y Finanzas Internacionales
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869419379860439040
score 15,81155

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