Guarantee requirements by European central counterparties and international volatility spillovers

This analysis addressed the potential systemic effects of guarantee requirements by central counterparties. Using data from the Spanish BME and German Eurex central clearing counterparties and controlling for tail risk and monetary and real activity variables, we found a significant, positive, and r...

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Detalles Bibliográficos
Autores: González Urteaga, Ana, Rubio Irigoyen, Gonzalo
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2022
País:España
Institución:Universidad Pública de Navarra
Repositorio:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
OAI Identifier:oai:academica-e.unavarra.es:2454/43960
Acceso en línea:https://hdl.handle.net/2454/43960
Access Level:acceso abierto
Palabra clave:Central clearing
Guarantees
Margining
Total connectedness
Volatility spillovers
Systemic risk
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spelling Guarantee requirements by European central counterparties and international volatility spilloversGonzález Urteaga, AnaRubio Irigoyen, GonzaloCentral clearingGuaranteesMarginingTotal connectednessVolatility spilloversSystemic riskThis analysis addressed the potential systemic effects of guarantee requirements by central counterparties. Using data from the Spanish BME and German Eurex central clearing counterparties and controlling for tail risk and monetary and real activity variables, we found a significant, positive, and robust relationship between the guarantees required and the spillover or total connectedness effects among nine financial assets in the Spanish, United States, and German capital markets. Bad economic times also had a significant incremental effect on the relationship between guarantees and connectedness. These findings are robust across central clearing corporations and futures contracts in the IBEX 35, DAX 30, and EURO STOXX 50. In addition, an event study indicated that global spillover effects tend to increase before central counterparty institutions raise their guarantees. The implication of the findings is that European clearing institutions react to rather than cause bad economic times.The authors acknowledge financial support from the Ministry of Science, Innovation, and Universities through grant PGC2018-095072-B-I00. In addition, Gonzalo Rubio acknowledges financial support from Generalitat Valencia grant Prometeo/2017/158 and Ana González-Urteaga acknowledges financial support through grant PID2019-104304GBI00 funded by MCIN/AEI/10.13039/501100011033, and UPNA Research Grant for Young Researchers, Edition 2018.JAI PressEnpresen KudeaketaInstitute for Advanced Research in Business and Economics - INARBEGestión de Empresas2022info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://hdl.handle.net/2454/43960reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarrainstname:Universidad Pública de NavarraInglésinfo:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PGC2018-095072-B-I00info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-104304GB-I00© 2022 Elsevier B.V. This manuscript version is made available under the CC-BY-NC-ND 4.0https://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:academica-e.unavarra.es:2454/439602026-06-17T12:41:47Z
dc.title.none.fl_str_mv Guarantee requirements by European central counterparties and international volatility spillovers
title Guarantee requirements by European central counterparties and international volatility spillovers
spellingShingle Guarantee requirements by European central counterparties and international volatility spillovers
González Urteaga, Ana
Central clearing
Guarantees
Margining
Total connectedness
Volatility spillovers
Systemic risk
title_short Guarantee requirements by European central counterparties and international volatility spillovers
title_full Guarantee requirements by European central counterparties and international volatility spillovers
title_fullStr Guarantee requirements by European central counterparties and international volatility spillovers
title_full_unstemmed Guarantee requirements by European central counterparties and international volatility spillovers
title_sort Guarantee requirements by European central counterparties and international volatility spillovers
dc.creator.none.fl_str_mv González Urteaga, Ana
Rubio Irigoyen, Gonzalo
author González Urteaga, Ana
author_facet González Urteaga, Ana
Rubio Irigoyen, Gonzalo
author_role author
author2 Rubio Irigoyen, Gonzalo
author2_role author
dc.contributor.none.fl_str_mv Enpresen Kudeaketa
Institute for Advanced Research in Business and Economics - INARBE
Gestión de Empresas
dc.subject.none.fl_str_mv Central clearing
Guarantees
Margining
Total connectedness
Volatility spillovers
Systemic risk
topic Central clearing
Guarantees
Margining
Total connectedness
Volatility spillovers
Systemic risk
description This analysis addressed the potential systemic effects of guarantee requirements by central counterparties. Using data from the Spanish BME and German Eurex central clearing counterparties and controlling for tail risk and monetary and real activity variables, we found a significant, positive, and robust relationship between the guarantees required and the spillover or total connectedness effects among nine financial assets in the Spanish, United States, and German capital markets. Bad economic times also had a significant incremental effect on the relationship between guarantees and connectedness. These findings are robust across central clearing corporations and futures contracts in the IBEX 35, DAX 30, and EURO STOXX 50. In addition, an event study indicated that global spillover effects tend to increase before central counterparty institutions raise their guarantees. The implication of the findings is that European clearing institutions react to rather than cause bad economic times.
publishDate 2022
dc.date.none.fl_str_mv 2022
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2454/43960
url https://hdl.handle.net/2454/43960
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PGC2018-095072-B-I00
info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-104304GB-I00
dc.rights.none.fl_str_mv © 2022 Elsevier B.V. This manuscript version is made available under the CC-BY-NC-ND 4.0
https://creativecommons.org/licenses/by-nc-nd/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv © 2022 Elsevier B.V. This manuscript version is made available under the CC-BY-NC-ND 4.0
https://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv JAI Press
publisher.none.fl_str_mv JAI Press
dc.source.none.fl_str_mv reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
instname:Universidad Pública de Navarra
instname_str Universidad Pública de Navarra
reponame_str Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
collection Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
repository.name.fl_str_mv
repository.mail.fl_str_mv
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