Identificador persistente para citar o vincular este elemento: http://hdl.handle.net/10553/42544
Título: Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility
Autores/as: Fernández-Rodríguez, Fernando 
Gómez-Puig, Marta
Sosvilla-Rivero, Simón
Clasificación UNESCO: 531102 Gestión financiera
53 Ciencias económicas
Palabras clave: Connectedness analysis
Euro area
Market linkages
Sovereign debt crisis
Variance decomposition, et al.
Fecha de publicación: 2016
Publicación seriada: Journal of International Financial Markets, Institutions and Money 
Resumen: 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
Fuente: Journal of International Financial Markets, Institutions and Money[ISSN 1042-4431],v. 43, p. 126-145
Colección:Artículos
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