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 timevarying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.
PB Asociación Española de Economía y Finanzas Internacionales
SN 1696-6376
YR 2015
FD 2015
LK https://hdl.handle.net/20.500.14352/27502
UL https://hdl.handle.net/20.500.14352/27502
LA eng
NO Government of Spain
DS Docta Complutense
RD 10 abr 2025