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Title: Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis
Author: Gómez-Puig, Marta
Sosvilla Rivero, Simón, 1961-
Fernández Rodríguez, Fernando, 1954-
Keywords: Anàlisi de regressió
Unions monetàries
Països de la Unió Europea
Mercat financer
Liquiditat (Economia)
Regression analysis
Monetary unions
European Union countries
Financial market
Liquidity (Economics)
Issue Date: 2015
Publisher: Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
Series/Report no: [WP E-IR15/08]
Abstract: 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.
Note: Reproducció del document publicat a:
It is part of: IREA – Working Papers, 2015, IR15/08
ISSN: 2014-1254
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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