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Euro Area Sovereign Risk Spillovers Before and after the Ecb's OMT Announcement
Gilbert, Niels D. - 2019
eliminating equilibrium multiplicity, has largely stopped contagion …
Persistent link: https://www.econbiz.de/10012870566
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Volatility Spillovers in EMU Sovereigns Bond Markets
Fernández Rodríguez, Fernando - 2015
We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional...
Persistent link: https://www.econbiz.de/10013028329
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Financial Stress Transmission in EMU Sovereign Bond Market Volatility : A Connectedness Analysis
Fernández Rodríguez, Fernando - 2015
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...
Persistent link: https://www.econbiz.de/10013028923
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Volatility spillovers in EMU sovereign bond markets
Fernández-Rodríguez, Fernando; Gómez-Puig, Marta; … - Asociación Española de Economía y Finanzas … - 2015
We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional...
Persistent link: https://www.econbiz.de/10011169728
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Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
Fernández-Rodríguez, Fernando; Gómez-Puig, Marta; … - Asociación Española de Economía y Finanzas … - 2015
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...
Persistent link: https://www.econbiz.de/10011160691
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“Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”
Fernández-Rodríguez, Fernando; Gómez-Puig, Marta; … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2015
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...
Persistent link: https://www.econbiz.de/10011194340
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“Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”
Fernández-Rodríguez, Fernando; Gómez-Puig, Marta; … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2015
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...
Persistent link: https://www.econbiz.de/10011194341
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Sovereign risk contagion in the Eurozone: A time-varying coefficient approach
Ludwig, Alexander - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …
Persistent link: https://www.econbiz.de/10010327794
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A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis
Ludwig, Alexander - In: Journal of International Money and Finance 48 (2014) PA, pp. 125-146
This paper simultaneously analyzes wake-up-call and pure contagion of sovereign risk in the Eurozone during its recent … financial crisis. Pure contagion of sovereign risk means the transmission of negative effects after a shock to a country which …-up-call contagion is defined as the change of sovereign risk pricing by market participants after negative events in a single country or …
Persistent link: https://www.econbiz.de/10010939662
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Sovereign risk contagion in the Eurozone: A time-varying coefficient approach
Ludwig, Alexander - Fakultät Wirtschaftswissenschaften, Technische … - 2013
This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …
Persistent link: https://www.econbiz.de/10010956996