Template-type: ReDIF-Paper 1.0  
Author-Name: Fernando Fernández-Rodríguez
Author-Email: ffernandez@dmc.ulpgc.es
Author-Workplace-Name: Department of Quantitative Methods in Economics, Universidad de Las Palmas de Gran Canaria, 35017 Las Palmas de 
	Gran Canaria, Spain.
Author-Name: Marta Gómez-Puig
Author-Email: marta.gomezpuig@ub.edu
Author-Workplace-Name: Department of Economic Theory, Universitat de Barcelona. 08034 Barcelona, Spain.
Author-Name: Simón Sosvilla-Rivero
Author-Email: sosvilla@ccee.ucm.es
Author-Workplace-Name: Complutense Institute of International Studies Department of Quantitative Economics, Universidad Complutense 
	de Madrid.
Title: Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis
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 time-varying behaviour of net pair-wise directional 
	connectedness at different stages of the recent sovereign debt crisis.
Keywords: Sovereign debt crisis; Euro area; Market linkages; Vector autoregression; Variance decomposition.
Creation-Date: 2015 
Length: 35 pages
Number: 1501
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/wpaper01-15.txt
File-URL: https://eprints.ucm.es/id/eprint/37281/1/WP15-01.pdf
File-Format: Application/pdf
File-Function: Full text
Handle: RePEc:ucm:wpaper:1501