Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility
Author
Abstract
Suggested Citation
DOI: 10.1016/j.intfin.2016.04.005
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Kalbaska, A. & Gątkowski, M., 2012. "Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 657-673.
- Gómez-Puig, Marta & Sosvilla-Rivero, Simón & Ramos-Herrera, María del Carmen, 2014.
"An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis,"
The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 133-153.
- Marta Gómez-Puig & Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2014. "An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis," Working Papers 14-07, Asociación Española de Economía y Finanzas Internacionales.
- Marta Gómez-Puig & Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2014. "An update on EMU sovereign yield spread drivers in time of crisis: A panel data analysis," Working Papers 2014-04, Universitat de Barcelona, UB Riskcenter.
- Marta Gómez-Puig & Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2014. "“An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis”," IREA Working Papers 201407, University of Barcelona, Research Institute of Applied Economics, revised Mar 2014.
- Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2014.
"Causality and contagion in EMU sovereign debt markets,"
International Review of Economics & Finance, Elsevier, vol. 33(C), pages 12-27.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“Causality and Contagion in EMU Sovereign Debt Markets”," IREA Working Papers 201403, University of Barcelona, Research Institute of Applied Economics, revised Feb 2014.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "Causality and contagion in EMU sovereign debt markets," Working Papers 2014-03, Universitat de Barcelona, UB Riskcenter.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "Causality and Contagion in EMU Sovereign Debt Markets," Working Papers 14-03, Asociación Española de Economía y Finanzas Internacionales.
- Diebold, Francis X. & Yılmaz, Kamil, 2014.
"On the network topology of variance decompositions: Measuring the connectedness of financial firms,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Koç University-TUSIAD Economic Research Forum Working Papers 1124, Koc University-TUSIAD Economic Research Forum.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Working Papers 11-45, Federal Reserve Bank of Philadelphia.
- Francis X. Diebold & Kamil Yılmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," PIER Working Paper Archive 11-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," NBER Working Papers 17490, National Bureau of Economic Research, Inc.
- Tsai, I-C., 2014. "Spillover of fear: Evidence from the stock markets of five developed countries," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 281-288.
- Antonakakis, Nikolaos & Vergos, Konstantinos, 2013.
"Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 258-272.
- Antonakakis, Nikolaos & Vergos, Konstantinos, 2012. "Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis," MPRA Paper 43284, University Library of Munich, Germany.
- Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018.
"Measuring sovereign contagion in Europe,"
Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
- Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012. "Measuring Sovereign Contagion in Europe," Working Papers No 4/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Leibniz Institute for Financial Research SAFE.
- Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2013. "Measuring Sovereign Contagion in Europe," NBER Working Papers 18741, National Bureau of Economic Research, Inc.
- Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2012. "Measuring sovereign contagion in Europe," Working Paper 2012/05, Norges Bank.
- Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012.
"Econometric measures of connectedness and systemic risk in the finance and insurance sectors,"
Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers 2011_21, Department of Economics, University of Venice "Ca' Foscari".
- Afonso, António & Nunes, Ana Sofia, 2015.
"Economic forecasts and sovereign yields,"
Economic Modelling, Elsevier, vol. 44(C), pages 319-326.
- António Afonso & Ana Sofia Nunes, 2013. "Economic forecasts and sovereign yields," Working Papers Department of Economics 2013/02, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Chau, Frankie & Deesomsak, Rataporn, 2014. "Does linkage fuel the fire? The transmission of financial stress across the markets," International Review of Financial Analysis, Elsevier, vol. 36(C), pages 57-70.
- Kaminsky, Graciela L. & Reinhart, Carmen M., 2000.
"On crises, contagion, and confusion,"
Journal of International Economics, Elsevier, vol. 51(1), pages 145-168, June.
- Reinhart, Carmen & Kaminsky, Graciela, 1998. "On crises, contagion, and confusion," MPRA Paper 13709, University Library of Munich, Germany.
- Comelli, Fabio, 2012. "Emerging market sovereign bond spreads: Estimation and back-testing," Emerging Markets Review, Elsevier, vol. 13(4), pages 598-625.
- Gómez-Puig, Marta, 2008.
"Monetary integration and the cost of borrowing,"
Journal of International Money and Finance, Elsevier, vol. 27(3), pages 455-479, April.
- Marta Gómez-Puig, "undated". "Monetary integration and the cost of borrowing," Working Papers on International Economics and Finance 05-05, FEDEA.
- Marta Gomez Puig, 2005. "Monetary Integration and the Cost of Borrowing," Working Papers in Economics 134, Universitat de Barcelona. Espai de Recerca en Economia.
- Marta Gómez-Puig, 2005. "Monetary Integration And The Cost Of Borrowing," Working Papers 05-05, Asociación Española de Economía y Finanzas Internacionales.
- Faust, Jon & Whiteman, Charles H., 1997.
"General-to-specific procedures for fitting a data-admissible, theory-inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: A translation and criti,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 121-161, December.
- Jon Faust & Charles H. Whiteman, 1997. "General-to-specific procedures for fitting a data-admissible, theory- inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: a translation and crit," International Finance Discussion Papers 576, Board of Governors of the Federal Reserve System (U.S.).
- Brent Glover & Seth Richards-Shubik, 2014. "Contagion in the European Sovereign Debt Crisis," NBER Working Papers 20567, National Bureau of Economic Research, Inc.
- Yilmaz, Kamil, 2010.
"Return and volatility spillovers among the East Asian equity markets,"
Journal of Asian Economics, Elsevier, vol. 21(3), pages 304-313, June.
- Kamil Yilmaz, 2009. "Return and Volatility Spillovers among the East Asian Equity Markets," Koç University-TUSIAD Economic Research Forum Working Papers 0907, Koc University-TUSIAD Economic Research Forum.
- Vuillemey, Guillaume & Peltonen, Tuomas A., 2015.
"Disentangling the bond–CDS nexus: A stress test model of the CDS market,"
Economic Modelling, Elsevier, vol. 49(C), pages 32-45.
- Peltonen, Tuomas A. & Vuillemey, Guillaume, 2013. "Disentangling the bond-CDS nexus: a stress test model of the CDS market," Working Paper Series 1599, European Central Bank.
- Alter, Adrian & Beyer, Andreas, 2014.
"The dynamics of spillover effects during the European sovereign debt turmoil,"
Journal of Banking & Finance, Elsevier, vol. 42(C), pages 134-153.
- Alter, Adrian & Beyer, Andreas, 2012. "The dynamics of spillover effects during the European sovereign debt turmoil," CFS Working Paper Series 2012/13, Center for Financial Studies (CFS).
- Carvalho, Daniel & Fidora, Michael, 2015.
"Capital inflows and euro area long-term interest rates,"
Journal of International Money and Finance, Elsevier, vol. 54(C), pages 186-204.
- Daniel Carvalho, 2014. "Capital Inflows and euro area long-term interest rates," Working Papers w201410, Banco de Portugal, Economics and Research Department.
- Fidora, Michael & Carvalho, Daniel, 2015. "Capital inflows and euro area long-term interest rates," Working Paper Series 1798, European Central Bank.
- Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2015.
"On the time-varying relationship between EMU sovereign spreads and their determinants,"
Economic Modelling, Elsevier, vol. 44(C), pages 363-371.
- António Afonso, & Michael G. Arghyrou, & George Bagdatoglou, & Alexandros Kontonikas, 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants," Working Papers Department of Economics 2013/05, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- António Afonso & Michael G. Arghyrou & George Bagdatoglou & Alexandros Kontonikas, 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants," Working Papers 2013_05, Business School - Economics, University of Glasgow.
- Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants," SIRE Discussion Papers 2013-47, Scottish Institute for Research in Economics (SIRE).
- repec:bla:ecorec:v:64:y:1988:i:187:p:344-59 is not listed on IDEAS
- Goldstein, Itay & Pauzner, Ady, 2004. "Contagion of self-fulfilling financial crises due to diversification of investment portfolios," Journal of Economic Theory, Elsevier, vol. 119(1), pages 151-183, November.
- Claeys, Peter & Vašíček, Bořek, 2014.
"Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe,"
Journal of Banking & Finance, Elsevier, vol. 46(C), pages 151-165.
- Claeys, Peter & Vašíček, Bořek, 2014. "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Working Paper Series 1666, European Central Bank.
- Kalemli-Ozcan, Sebnem & Papaioannou, Elias & Peydró, José-Luis, 2010.
"What lies beneath the euro's effect on financial integration? Currency risk, legal harmonization, or trade?,"
Journal of International Economics, Elsevier, vol. 81(1), pages 75-88, May.
- Kalemli-Özcan, Sebnem & Papaioannou, Elias & Peydró, José-Luis, 2009. "What Lies Beneath the Euro's Effect on Financial Integration? Currency Risk, Legal Harmonization, or Trade?," CEPR Discussion Papers 7314, C.E.P.R. Discussion Papers.
- Papaioannou, Elias & Peydró, José-Luis & Kalemli-Ozcan, Sebnem, 2010. "What lies beneath the euro's effect on financial integration? Currency risk, legal harmonization, or trade?," Working Paper Series 1216, European Central Bank.
- Sebnem Kalemli-Ozcan & Elias Papaioannou & José-Luis Peydró, 2009. "What Lies Beneath the Euro's Effect on Financial Integration: Currency Risk, Legal Harmonization, or Trade?," NBER Working Papers 15034, National Bureau of Economic Research, Inc.
- Dirk Schoenmaker & Wolf Wagner, 2013. "Cross-Border Banking in Europe and Financial Stability," International Finance, Wiley Blackwell, vol. 16(1), pages 1-22, February.
- Bunda, Irina & Hamann, A. Javier & Lall, Subir, 2009.
"Correlations in emerging market bonds: The role of local and global factors,"
Emerging Markets Review, Elsevier, vol. 10(2), pages 67-96, June.
- Mr. A. J Hamann & Irina Bunda & Mr. Subir Lall, 2010. "Correlations in Emerging Market Bonds: The Role of Local and Global Factors," IMF Working Papers 2010/006, International Monetary Fund.
- Beirne, John & Fratzscher, Marcel, 2013.
"The pricing of sovereign risk and contagion during the European sovereign debt crisis,"
Journal of International Money and Finance, Elsevier, vol. 34(C), pages 60-82.
- Fratzscher, Marcel & Beirne, John, 2012. "The Pricing of Sovereign Risk and Contagion during the European Sovereign Debt Crisis," CEPR Discussion Papers 9249, C.E.P.R. Discussion Papers.
- Fratzscher, Marcel & Beirne, John, 2013. "The pricing of sovereign risk and contagion during the European sovereign debt crisis," Working Paper Series 1625, European Central Bank.
- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
- Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
- Dungey, Mardi & Gajurel, Dinesh, 2014.
"Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies,"
Economic Systems, Elsevier, vol. 38(2), pages 161-177.
- Dungey, Mardi & Gajurel, Dinesh, 2013. "Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies," Working Papers 17213, University of Tasmania, Tasmanian School of Business and Economics, revised 16 Oct 2013.
- Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
- repec:ecb:ecbwps:20141798 is not listed on IDEAS
- Pesaran, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models,"
Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
- Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
- Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2015.
"Systemic Risk and Stability in Financial Networks,"
American Economic Review, American Economic Association, vol. 105(2), pages 564-608, February.
- Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2013. "Systemic Risk and Stability in Financial Networks," NBER Working Papers 18727, National Bureau of Economic Research, Inc.
- P.C.B. Phillips, 1988.
"Reflections on Econometric Methodology,"
The Economic Record, The Economic Society of Australia, vol. 64(4), pages 344-359, December.
- Peter C.B. Phillips, 1988. "Reflections on Econometric Methodology," Cowles Foundation Discussion Papers 893, Cowles Foundation for Research in Economics, Yale University.
- Spiegel, Mark M., 2009.
"Monetary and financial integration: Evidence from the EMU,"
Journal of the Japanese and International Economies, Elsevier, vol. 23(2), pages 114-130, June.
- Mark M. Spiegel, 2004. "Monetary and financial integration: evidence from the EMU," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug6.
- Mark M. Spiegel, 2009. "Monetary and Financial Integration: Evidence from the EMU," NBER Chapters, in: Financial Globalization, 20th Anniversary Conference, NBER-TCER-CEPR, National Bureau of Economic Research, Inc.
- Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
- Lee, Hsiu-Chuan & Chang, Shu-Lien, 2013. "Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 197-216.
- Gorea, Denis & Radev, Deyan, 2014. "The euro area sovereign debt crisis: Can contagion spread from the periphery to the core?," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 78-100.
- Kristin J. Forbes & Roberto Rigobon, 2002.
"No Contagion, Only Interdependence: Measuring Stock Market Comovements,"
Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
- Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
- Özatay, Fatih & Özmen, Erdal & Sahinbeyoglu, Gülbin, 2009.
"Emerging market sovereign spreads, global financial conditions and U.S. macroeconomic news,"
Economic Modelling, Elsevier, vol. 26(2), pages 526-531, March.
- Fatih Ozatay & Erdal Ozmen & Gülbin Sahinbeyoglu, 2007. "Emerging Market Sovereign Spreads, Global Financial Conditions and U.S. Macroeconomic News," ERC Working Papers 0707, ERC - Economic Research Center, Middle East Technical University, revised Dec 2007.
- Fatih Özatay & Erdal Özmen & Gülbin Sahinbeyoglu, 2008. "Emerging Market Sovereign Spreads, Global Financial Conditions and US Macroeconomic News," Working Papers 400, Economic Research Forum, revised 03 Jan 2008.
- Apostolakis, George & Papadopoulos, Athanasios P., 2014. "Financial stress spillovers in advanced economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 128-149.
- Zhou, Xiangyi & Zhang, Weijin & Zhang, Jie, 2012. "Volatility spillovers between the Chinese and world equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 247-270.
- Amil Dasgupta, 2004. "Financial Contagion Through Capital Connections: A Model of the Origin and Spread of Bank Panics," Journal of the European Economic Association, MIT Press, vol. 2(6), pages 1049-1084, December.
- Wagner, Wolf, 2010.
"Diversification at financial institutions and systemic crises,"
Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 373-386, July.
- Wagner, W.B., 2006. "Diversification at Financial Institutions and Systemic Crises," Discussion Paper 2006-71, Tilburg University, Center for Economic Research.
- Mark M. Spiegel, 2009.
"Monetary and Financial Integration in the EMU: Push or Pull?,"
Review of International Economics, Wiley Blackwell, vol. 17(4), pages 751-776, September.
- Mark M. Spiegel, 2008. "Monetary and financial integration in the EMU: Push or pull?," Working Paper Series 2008-11, Federal Reserve Bank of San Francisco.
- Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306.
- Masson, Paul, 1999. "Contagion:: macroeconomic models with multiple equilibria," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 587-602, August.
- Zinna, Gabriele, 2014.
"Identifying risks in emerging market sovereign and corporate bond spreads,"
Emerging Markets Review, Elsevier, vol. 20(C), pages 1-22.
- Zinna, Gabriele, 2011. "Identifying risks in emerging market sovereign and corporate bond spreads," Bank of England working papers 430, Bank of England.
- Favero, Carlo A., 2013. "Modelling and forecasting government bond spreads in the euro area: A GVAR model," Journal of Econometrics, Elsevier, vol. 177(2), pages 343-356.
- Narayan, Paresh Kumar & Narayan, Seema & K.P, Prabheesh, 2014. "Stock returns, mutual fund flows and spillover shocks," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 146-162.
- Banerji, Sanjay & Ventouri, Alexia & Wang, Zilong, 2014. "The sovereign spread in Asian emerging economies: The significance of external versus internal factors," Economic Modelling, Elsevier, vol. 36(C), pages 566-576.
- Piljak, Vanja, 2013. "Bond markets co-movement dynamics and macroeconomic factors: Evidence from emerging and frontier markets," Emerging Markets Review, Elsevier, vol. 17(C), pages 29-43.
- Giuseppe Grande & Stefano Neri & Stefan Siviero, 2013. "The sovereign debt crisis and the euro area," Workshop and Conferences 14, Bank of Italy, Economic Research and International Relations Area.
- Duncan, Andrew S. & Kabundi, Alain, 2013. "Domestic and foreign sources of volatility spillover to South African asset classes," Economic Modelling, Elsevier, vol. 31(C), pages 566-573.
- Diebold, Francis X. & Yilmaz, Kamil, 2012.
"Better to give than to receive: Predictive directional measurement of volatility spillovers,"
International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
- Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
- Cronin, David, 2014. "The interaction between money and asset markets: A spillover index approach," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 185-202.
- Sebastian Barnes & Philip R. Lane & Artur Radziwill, 2010. "Minimising Risks from Imbalances in European Banking," OECD Economics Department Working Papers 828, OECD Publishing.
- Gomez-Puig, Marta, 2006. "Size matters for liquidity: Evidence from EMU sovereign yield spreads," Economics Letters, Elsevier, vol. 90(2), pages 156-162, February.
- Ureche-Rangau, Loredana & Burietz, Aurore, 2013. "One crisis, two crises…the subprime crisis and the European sovereign debt problems," Economic Modelling, Elsevier, vol. 35(C), pages 35-44.
- Arellano, M, 1987. "Computing Robust Standard Errors for Within-Groups Estimators," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 49(4), pages 431-434, November.
- Ludwig, Alexander, 2014. "A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 125-146.
- Ang, Andrew & Longstaff, Francis A., 2013.
"Systemic sovereign credit risk: Lessons from the U.S. and Europe,"
Journal of Monetary Economics, Elsevier, vol. 60(5), pages 493-510.
- Andrew Ang & Francis A. Longstaff, 2011. "Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe," NBER Working Papers 16982, National Bureau of Economic Research, Inc.
- Riedel, Christoph & Thuraisamy, Kannan S. & Wagner, Niklas, 2013. "Credit cycle dependent spread determinants in emerging sovereign debt markets," Emerging Markets Review, Elsevier, vol. 17(C), pages 209-223.
- Mr. Fabio Comelli, 2012. "Emerging Market Sovereign Bond Spreads: Estimation and Back-testing," IMF Working Papers 2012/212, International Monetary Fund.
- Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2013. "Granger-causality in peripheral EMU public debt markets: A dynamic approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4627-4649.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015.
"Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis,"
Working Papers del Instituto Complutense de Estudios Internacionales
1501, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
- Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”," IREA Working Papers 201510, University of Barcelona, Research Institute of Applied Economics, revised Feb 2015.
- Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis," Working Papers 15-02, Asociación Española de Economía y Finanzas Internacionales.
- Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”," IREA Working Papers 201508, University of Barcelona, Research Institute of Applied Economics, revised Jan 2015.
- Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2015.
"Volatility spillovers in EMU sovereign bond markets,"
International Review of Economics & Finance, Elsevier, vol. 39(C), pages 337-352.
- Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "Volatility spillovers in EMU sovereign bond markets," Working Papers 15-03, Asociación Española de Economía y Finanzas Internacionales.
- Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "Volatility spillovers in EMU sovereign bond markets," Working Papers del Instituto Complutense de Estudios Internacionales 1504, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
- Julián Andrada-Félix & Adrian Fernandez-Perez & Simón Sosvilla-Rivero, 2018.
"Fear connectedness among asset classes,"
Applied Economics, Taylor & Francis Journals, vol. 50(39), pages 4234-4249, August.
- Julián Andrada-Félixa & Adrian Fernandez-Perez & Simón Sosvilla-Rivero, 2017. "Fear connectedness among asset classes," IREA Working Papers 201703, University of Barcelona, Research Institute of Applied Economics, revised Feb 2017.
- Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion," Economic Modelling, Elsevier, vol. 56(C), pages 133-147.
- Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014.
"EMU sovereign debt market crisis: Fundamentals-based or pure contagion?,"
Working Papers
14-08, Asociación Española de Economía y Finanzas Internacionales.
- Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“EMU sovereign debt market crisis: Fundamentals-based or pure contagion?”," IREA Working Papers 201402, University of Barcelona, Research Institute of Applied Economics, revised May 2014.
- Nishimura, Yusaku & Sun, Bianxia, 2018. "The intraday volatility spillover index approach and an application in the Brexit vote," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 241-253.
- Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
- Greenwood-Nimmo, Matthew & Kočenda, Evžen & Nguyen, Viet Hoang, 2024.
"Detecting statistically significant changes in connectedness: A bootstrap-based technique,"
Economic Modelling, Elsevier, vol. 140(C).
- Matthew Greenwood-Nimmo & Evžen KoÄ enda & Viet Hoang Nguyen, 2019. "Does the Spillover Index Reflect Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Melbourne Institute Working Paper Series wp2019n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2021. "Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Working Papers IES 2021/29, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2021.
- Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2024. "Detecting Statistically Significant Changes in Connectedness: A Bootstrap-based Technique," CAMA Working Papers 2024-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Matthew Greenwood-Nimmo & Evžen Kocenda & Viet Hoang Nguyen, 2023. "Does the Spillover Index Respond to Adverse Shocks? A Bootstrap-Based Probabilistic Analysis," CESifo Working Paper Series 10668, CESifo.
- Julián Andrada-Félix & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2022.
"Time connectedness of fear,"
Empirical Economics, Springer, vol. 62(3), pages 905-931, March.
- Julián Andrada-Félixa & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2018. "“Time connectedness of fear”," IREA Working Papers 201818, University of Barcelona, Research Institute of Applied Economics, revised Sep 2018.
- Debarsy, Nicolas & Dossougoin, Cyrille & Ertur, Cem & Gnabo, Jean-Yves, 2018.
"Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 21-45.
- DEBARSY, Nicolas & DOSSOUGOIN, Cyrille & ERTUR, Cem & GNABO, Jean-Yves, 2016. "Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach," LIDAM Discussion Papers CORE 2016053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Nicolas Debarsy & Cyrille Dossougoin & Cem Ertur & Jean-Yves Gnabo, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," LIDAM Reprints CORE 2937, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Nicolas DEBARSY & CYRILLE DOSSOUGOIN & Cem ERTUR & Jean-Yves GNABO, 2016. "Measuring Sovereign Risk Spillovers and Assessing the Role of Transmission Channels: A Spatial Econometrics Approach," LEO Working Papers / DR LEO 2441, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Nicolas Debarsy & Cyrille Dossougoin & Cem Ertur & Jean-Yves Gnabo, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," Post-Print hal-01744629, HAL.
- Mardi Dungey & John Harvey & Pierre Siklos & Vladimir Volkov, 2017.
"Signed spillover effects building on historical decompositions,"
CAMA Working Papers
2017-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Dungey, Mardi & Harvey, John & Siklos, Pierre & Volkov, Vladimir, 2017. "Signed spillover effects building on historical decompositions," Working Papers 2017-11, University of Tasmania, Tasmanian School of Business and Economics.
- Bostanci, Gorkem & Yilmaz, Kamil, 2020.
"How connected is the global sovereign credit risk network?,"
Journal of Banking & Finance, Elsevier, vol. 113(C).
- Gorkem Bostanci & Kamil Yilmaz, 2015. "How Connected is the Global Sovereign Credit Risk Network?," Koç University-TUSIAD Economic Research Forum Working Papers 1515, Koc University-TUSIAD Economic Research Forum.
- Maruska Vizek, 2019. "The Sovereign Bond Markets Return And Volatility Spillovers," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 28(2), pages 597-610, december.
- Antonakakis, Nikolaos & Gabauer, David, 2017. "Refined Measures of Dynamic Connectedness based on TVP-VAR," MPRA Paper 78282, University Library of Munich, Germany.
- Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
- Greenwood-Nimmo, Matthew & Nguyen, Viet Hoang & Shin, Yongcheol, 2023. "What is mine is yours: Sovereign risk transmission during the European debt crisis," Journal of Financial Stability, Elsevier, vol. 65(C).
- Alter, Adrian & Beyer, Andreas, 2014.
"The dynamics of spillover effects during the European sovereign debt turmoil,"
Journal of Banking & Finance, Elsevier, vol. 42(C), pages 134-153.
- Alter, Adrian & Beyer, Andreas, 2012. "The dynamics of spillover effects during the European sovereign debt turmoil," CFS Working Paper Series 2012/13, Center for Financial Studies (CFS).
- Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2020.
"Crisis transmission: Visualizing vulnerability,"
Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
- Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2019. "Crisis transmission: visualizing vulnerability," Working Papers 2019-07, University of Tasmania, Tasmanian School of Business and Economics.
- Buse, Rebekka & Schienle, Melanie, 2019.
"Measuring connectedness of euro area sovereign risk,"
International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
- Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," Working Paper Series in Economics 123, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
More about this item
Keywords
Sovereign debt crisis; Euro area; Connectedness analysis; Market linkages; Vector autoregression; Variance decomposition;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfin:v:43:y:2016:i:c:p:126-145. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/intfin .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.