Volatility spillovers in EMU sovereign bond markets

Rodríguez, Fernando Fernández; Gómez‐Puig, Marta; Sosvilla‐Rivero, Simón

doi:10.1016/j.iref.2015.07.001

Cited by 56 publications

(23 citation statements)

References 38 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…This research, while providing a significant advance of technique, found its sources in the works of Baillie and Bollerslev (1991) , Susmel and Engle (1994) and Koutmos and Booth (1995) , who had examined multi-frequency and cross-market spillovers in foreign exchange and equity markets respectively. Regional volatility has since been examined in Japan ( Kim and Rhee (1997) ; Ng (2000) ); the United States ( Tse (1999) ); South Korea ( Pyun et al., (2000) ); Hong Kong ( Gannon (2005) ); Europe ( Baele (2005) ; Fernandez-Rodriguez et al., (2015) ); Taiwan ( Lin (2006) ); Canada ( Krause and Tse (2013) ), the United Kingdom ( Antonakakis et al., (2016) ) and in consideration of the BRICs in its entirety ( Bekiros (2014) ; Syriopoulos et al., (2015) ; Mensi et al., (2016) ). Further, Balli et al., (2015) identified significant spillover effects from developed markets to emerging markets.…”

Section: Previous Literaturementioning

confidence: 99%

Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre

Corbet

Hou

et al. 2021

International Review of Economics & Finance

185

View full text Add to dashboard Cite

Utilising Chinese-developed data based on long-standing influenza indices, and the more recently-developed coronavirus and face mask indices, we set out to test for the presence of volatility spillovers from Chinese financial markets upon a broad number of traditional financial assets during the outbreak of the COVID-19 pandemic. Such indices are used to specifically measure the performance of Chinese companies who are inherently involved in the R&D and production of materials and products used to mitigate and counteract the effects of influenza and coronavirus, therefore, such indices present a unique barometer of broad population-based sentiment relating to COVID-19 in comparison to traditional Chinese influenza. Within days of the formal announcement of the COVID-19 outbreak, results indicate exceptionally pronounced and persistent impacts of the coronavirus pandemic upon Chinese financial markets, compared to that of the traditional and long-standing influenza index. Further, in a novel finding to date, COVID-19 is found to have had a substantial effect on directional spillovers upon the Bitcoin market. Cryptocurrency-based confidence appears to have been instigated through government-developed education schemes, which are identified as one possible explanation for our results, which are found to remain robust across both data-frequency and methodological variation.

show abstract

Section: Previous Literaturementioning

confidence: 99%

Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre

Corbet

Hou

et al. 2021

International Review of Economics & Finance

185

View full text Add to dashboard Cite

show abstract

“…Their study concludes that volatility spillover effects and the cross‐correlation have been strenghtened as a result of the common currency (Euro). Similarly, Fernández‐Rodríguez, Gómez‐Puig, and Sosvilla‐Rivero (2015), in a panel data setting, examine the volatility spillovers in European Monetary Union (EMU) sovereign bonds market. Using the original eleven (11) member countries, they find Italy and Spain as the net transmitters of bond yield shocks to other countries, while Portugal and Ireland are established to be the net receivers of the shocks.…”

Section: Literature Reviewmentioning

confidence: 99%

Oil price shocks and volatility spillovers in the Nigerian sovereign bond market

Tule¹,

Ndako²,

Onipede³

2017

Rev Financ Econ

View full text Add to dashboard Cite

This paper investigates volatility spillover in the Nigerian sovereign bond market arising from oil price shocks, using Vector Autoregressive Moving Average ‐ Asymmetric Generalized Autoregressive Conditional Heteroscedasticity (VARMA‐AGARCH) model. The paper covers the period March 22, 2011 to April 14, 2016 and makes use of the daily data of the Nigerian Sovereign Bond, Brent oil and West Texas Intermediate (WTI), respectively. We endogenously and sequentially detect structural break points using the test of Bai and Perron (2003) framework. In order to accurately estimate the model, we modify it by incorporating the break points into the VARMA‐AGARCH model, a process which if ignored would lead to model misspecification. The results obtained demonstrate a significant cross‐market volatility transmission between oil and sovereign bond market with ample sensitivity to structural breaks. The study also computes optimum weight portfolio and hedge ratio both with and without structural breaks and results equally indicate sensitivity to structural breaks.

show abstract

“…It is in agreement with the findings of World Bank (2009) which comes out to similar outcomes (see World Bank 2009). Fernández-Rodríguez et al (2015) also report the same for EMU bond markets. For emerging markets, these findings are in agreement with Ahmad et al (2013).…”

Section: Determinants Of Net Spillovers Across Saarc Countriesmentioning

confidence: 91%

“…13 In the literature, some studies have used a different set of variables to explain the cross-country financial spillovers. Some of the significant studies are Dornbusch et al (2000), Csonto and Ivaschenko (2013), Piljak (2013), Gómez-Puig et al (2014), Fernández-Rodríguez et al (2015, 2016. In line with these studies, we consider following macroeconomic determinants viz., government debt as a percentage of GDP, current account balance-to-GDP, inflation and interest rates as measures of economic and policy competitiveness of SAARC nations.…”

Section: Determinants Of Net Spillovers Across Saarc Countriesmentioning

confidence: 99%

Business Cycle and Financial Cycle Interdependence and the Rising Role of China in SAARC

Ahmad

Sehgal

2017

J. Quant. Econ.

View full text Add to dashboard Cite

In this paper, we examine the dynamic interdependence via growth spillovers between financial cycle represented by real bank credit growth and business cycle as real GDP growth using dynamic spillover index of Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). Using quarterly data on five SAARC (the South Asian Association for Regional Cooperation) countries over the period 1975Q4-2013Q4, the study reports following empirical regularities: First, there is a limited interdependence between business and financial cycles within SAARC nations. The pattern of dependence is almost homogeneous. Second, the results of across SAARC indicate that the magnitude of dynamic relationship is not as high as studies have reported in the case of other economic interests groups. Third, to credit-growth spillover, India appears to be the primary driver of economic and financial integrations followed by Bangladesh and Pakistan. Fourth, the spillover analysis between SAARC countries and China reveals that the directional interdependence is relatively higher than the SAARC alone. Among macroeconomic indicators, we find that government debt to GDP, inflation and interest rate are the primary determinants of credit growth spillover. Among financial development indicators, the number of mobile subscribers and number of bank branches as financial inclusion variables appears as significant determinants of credit growth spillover than the portfolio equity assets and remittances.

show abstract

Volatility spillovers in EMU sovereign bond markets

Cited by 56 publications

References 38 publications

Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre

Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre

Oil price shocks and volatility spillovers in the Nigerian sovereign bond market

Business Cycle and Financial Cycle Interdependence and the Rising Role of China in SAARC

Contact Info

Product

Resources

About