González Urteaga, Ana

Profile Picture

Email Address

person.page.identifierURI

https://academica-e.unavarra.es/handle/2454/49191

Birth Date

Job Title

Last Name

González Urteaga

First Name

Ana

person.page.departamento

Gestión de Empresas

person.page.instituteName

INARBE. Institute for Advanced Research in Business and Economics

ORCID

0000-0002-8256-8518

person.page.observainves

88772

person.page.upna

810168

Name

Filters

2016 - 20192
Reset filters

Settings

Start date: 2016 × Subject: Contagion ×

Search Results

Now showing 1 - 2 of 2
  • Thumbnail Image
    PublicationOpen Access
    A systematic review of sovereign connectedness on emerging economies
    (Elsevier, 2019) Ballester Miquel, Laura; Díaz Mendoza, Ana Carmen; González Urteaga, Ana; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
    This article systematically reviews the academic literature on emerging market contagion in order to summarize what we have learnt about the transmission channels existing in these countries. Given the large body of academic research focused on this topic, we especially direct our attention to the strand of the literature that defines and empirically analyses this topic as the significant increase in the cross-market correlations between asset returns during crisis periods or when a shock occurs. The survey covers the findings on financial contagion in the stock, bond, exchange and credit default swap markets during a large period that covers several crises that have characterized the related literature, such as the currency crises of the 1990s, the global financial crisis and the Eurozone debt crisis. Finally, new topics are identified, serving as an outline for future research.
  • Thumbnail Image
    PublicationOpen 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 Kudeaketa
    Understanding 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.