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http://hdl.handle.net/10553/42544
Title: | Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility | Authors: | Fernández-Rodríguez, Fernando Gómez-Puig, Marta Sosvilla-Rivero, Simón |
UNESCO Clasification: | 531102 Gestión financiera 53 Ciencias económicas |
Keywords: | Connectedness analysis Euro area Market linkages Sovereign debt crisis Variance decomposition, et al |
Issue Date: | 2016 | Journal: | Journal of International Financial Markets, Institutions and Money | Abstract: | 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 dynamic analysis to measure the total volatility connectedness in the entire period using a framework recently proposed by Diebold and Yilmaz (2014). Second, we use a dynamic analysis to evaluate the net directional connectedness for each country and apply panel model techniques to investigate its determinants. Finally, we examine the time-varying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis. | URI: | http://hdl.handle.net/10553/42544 | ISSN: | 1042-4431 | DOI: | 10.1016/j.intfin.2016.04.005 | Source: | Journal of International Financial Markets, Institutions and Money[ISSN 1042-4431],v. 43, p. 126-145 |
Appears in Collections: | Artículos |
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