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Working paper

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2015

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cc-by-nc-nd, (c) Gómez-Puig et al., 2015
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/62348

Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis

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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.

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Anàlisi de regressió, Unions monetàries, Països de la Unió Europea, Mercat financer, Liquiditat (Economia), Crèdit

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Regression analysis, Monetary unions, European Union countries, Financial market, Liquidity (Economics), Credit

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Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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GÓMEZ-PUIG, Marta, SOSVILLA RIVERO, Simón and FERNÁNDEZ RODRÍGUEZ, Fernando. Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis. IREA – Working Papers. 2015. Vol.  IR15/08. ISSN 2014-1254. [consulted: 7 of October of 2026]. Available at: https://hdl.handle.net/2445/62348

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