Please use this identifier to cite or link to this item: 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
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