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Title: Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility
Author: Fernández Rodríguez, Fernando, 1954-
Gómez-Puig, Marta
Sosvilla Rivero, Simón, 1961-
Keywords: Crisis econòmiques
Unions monetàries
Països de la Unió Europea
Mercat financer
Monetary unions
European Union countries
Financial market
Issue Date: Jul-2016
Publisher: Elsevier B.V.
Abstract: 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.
Note: Versió postprint del document publicat a:
It is part of: Journal Of International Financial Markets Institutions & Money, 2016, vol. 43, num. July, p. 126-145
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ISSN: 1042-4431
Appears in Collections:Articles publicats en revistes (Economia)

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