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


Autoria(s): Gómez-Puig, Marta; Sosvilla Rivero, Simón, 1961-; Fernández-Rodríguez, Fernando
Resumo

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.

Identificador

http://hdl.handle.net/2445/62348

Idioma(s)

eng

Publicador

Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública

Direitos

cc-by-nc-nd, (c) Gómez-Puig et al., 2015

info:eu-repo/semantics/openAccess

<a href="http://creativecommons.org/licenses/by-nc-nd/3.0/">http://creativecommons.org/licenses/by-nc-nd/3.0/</a>

Palavras-Chave #Anàlisi de regressió #Unions monetàries #Països de la Unió Europea #Mercat financer #Liquiditat (Economia) #Crèdit #Regression analysis #Monetary unions #European Union countries #Financial market #Liquidity (Economics) #Credit
Tipo

info:eu-repo/semantics/workingPaper