RT Journal Article
T1 Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility
A1 Fernández-Rodríguez, Fernando
A1 Gómez-Puig, Marta
A1 Sosvilla-Rivero, Simón
AB 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.
PB ELSEVIER
SN 1042-4431
YR 2016
FD 2016
LK https://hdl.handle.net/20.500.14352/23614
UL https://hdl.handle.net/20.500.14352/23614
LA eng
DS Docta Complutense
RD 16 may 2024