RT Report
T1 Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
A1 Fernández Rodríguez, Fernando
A1 Gómez Puig, Marta
A1 Sosvilla Rivero, Simón Javier
AB 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 time-varying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.
PB Instituto Complutense de Estudios Internacionales ICEI
YR 2015
FD 2015
LK https://hdl.handle.net/20.500.14352/41670
UL https://hdl.handle.net/20.500.14352/41670
LA eng
DS Docta Complutense
RD 6 abr 2025