2026-06-28T10:13:39Zhttps://docta.ucm.es/rest/oai/requestoai:docta.ucm.es:20.500.14352/275022025-07-02T16:44:10Zcom_20.500.14352_14col_20.500.14352_17
Docta Complutense
author
Fernández-Rodríguez, Fernando
author
Gómez-Puig, Marta
author
Sosvilla Rivero, Simón Javier
2023-06-18T10:25:18Z
2023-06-18T10:25:18Z
2015
1696-6376
https://hdl.handle.net/20.500.14352/27502
http://www.aeefi.com
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.
eng
Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
technical report
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defi 1503.pdf
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defi 1503.pdf.txt