González Urteaga, Ana
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González Urteaga
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Ana
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Gestión de Empresas
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INARBE. Institute for Advanced Research in Business and Economics
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Publication Open Access Bank fragility and contagion: evidence from the bank CDS market(Elsevier, 2016) Ballester Miquel, Laura; Casu, Barbara; González Urteaga, Ana; Gestión de Empresas; Enpresen KudeaketaUnderstanding how contagion works among financial institutions is a top priority for regulators and policy makers who aim to foster financial stability and to prevent financial crises. Using bank credit default swap (CDS) data, we provide a framework for the evaluation of contagion among banks in different countries and regions during a period of prolonged financial distress. We measure contagion in terms of return spillovers, following a Generalized VAR (GVAR) approach. In addition, we propose an innovative framework to distinguish between two types of contagion: systematic (linked to global factors), and idiosyncratic (linked to bank specific factors). We find evidence of both types of contagion, although the spillover dynamics changed over time. Our measure of systematic contagion is always greater than the idiosyncratic component, thus highlighting the importance of common factors in the propagation of risk spillovers. This indicates that international linkages among banking markets are central to the transmission of shocks.Publication Open Access An empirical investigation of the effect of credit ratings on sovereign credit risk(Universidad de Castilla La Mancha, 2015) Ballester Miquel, Laura; González Urteaga, Ana; Gestión de Empresas; Enpresen KudeaketaWe investigate the cross-border spillover effects of credit rating events for sovereign CDS Latin American emerging economies during 2004-2014. The article extends the previous literature measuring the effect in terms of change in contagion, which we quantify using the novel GVAR methodology. We find that CDS of boarding markets anticipate both positive and to a greater extent negative events that occurs in a given country. Alternatively, only upgrades display a significant spillover effect the days after the event. Therefore, CDS already reflect the information before the positive or negative rating announcement occurs. However, only upgrades contain new information that have a significant impact on the CDS markets of other sovereigns.Publication Open Access How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets(Elsevier, 2016) Ballester Miquel, Laura; González Urteaga, Ana; Gestión de Empresas; Enpresen KudeaketaThis article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel GVAR methodology using data from six Latin American emerging countries during an extensive sample period from 2004 to 2014. Our findings show evidence for the existence of significant and asymmetric cross-border effects. In particular, a competition effect is observed before the event occurs, indicating that non-event countries suffer (benefit) from upgrades (downgrades) in Brazil, Mexico and Chile (in Argentina and Brazil). In contrast, an imitation effect is observed after rating upgrades in Chile, to the benefit of bordering non-event countries.