Open Access
Further empirical evidence on stochastic volatility models with jumps in returns
(Elsevier España, S.L., 2012) González Urteaga, Ana; Gestión de Empresas; Enpresen Kudeaketa
Using the Efficient Method of Moments we estimate a continuous time diffusion for the stochastic volatility of some international stock market indices that allows for possible jumps in returns. These jumps are needed for a sensible characterization of the dynamics of the distribution of returns, even under stochastic volatility. Although the stochastic volatility model with jumps in returns tends to exaggerate the negative skewness relative to the sample moments, the inclusion of jumps strongly improves the ability of the model to replicate sample kurtosis. This contrasts with the failure of the pure stochastic volatility model in generating high enough kurtosis. Our results extend the limited available evidence from the U.S. market to several European stock market indices.
Open 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.
Open Access
Lagged accuracy in credit-risk measures
(Elsevier, 2022) Abinzano Guillén, María Isabel; González Urteaga, Ana; Muga Caperos, Luis Fernando; Sánchez Alegría, Santiago; Institute for Advanced Research in Business and Economics - INARBE
This paper analyzes the magnitude (accuracy) and length (time) of the lag in the incorporation of new information in different measures of credit risk. The results, for US firms, show a lag for Altman’s Z accounting measure and credit rating. In contrast, market-based credit-risk measures such as CDSs and the Black-Scholes-Merton model show no lag. This paper also analyzes the determinants of the lags found showing the importance of the informativeness of CDSs in reducing the lag for all types of default events, and a negative relationship between accounting manipulation and the lag of Altman’s Z for severe default events.
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 Kudeaketa
We 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.
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 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.
Open Access
Enhancing learning in the finance classroom
(Universidad Politécnica de Valencia., 2022) Abinzano Guillén, María Isabel; Corredor Casado, María Pilar; Río Solano, María Cristina del; Ferrer Zubiate, Elena; González Urteaga, Ana; Mansilla Fernández, José Manuel; Martínez García, Beatriz; Muga Caperos, Luis Fernando; Gestión de Empresas; Enpresen Kudeaketa
This paper aims to describe a teaching-learning experience based on ProjectBased Learning (PBL). This experience is part of an educational innovation project devoted to transforming finance classes in various facets of financial advice. Specifically, the article focuses on the transformation process of a subject that studies financial markets and the assets traded in them. Based on this experience, the classroom becomes a financial consulting firm that advises investors on how to invest their capital. The results show us a remarkable active dedication of the students to the course, improved knowledge, and marks. In addition, the development of skills and values such as teamwork, autonomy, solidarity, equality, and professional skills are elements that encourage us to continue along this line.
Open Access
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
(Routledge, 2020) González Urteaga, Ana; Nieto, Belén; Rubio Irigoyen, Gonzalo; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas; Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa
This paper analyzes the factor structure and cross-sectional variability of a set of expected excess returns extracted from option prices and a non-parametric and out-of-sample stochastic discount factor. We argue that the existing potential segmentation between the equity and option markets makes it advisable to avoid using only option prices to extract expected equity risk premia. This set of expected risk premia significantly forecasts future realized returns, and the first two principal components explain 94.1% of the variability of expected returns. A multi-factor model with the market, quality, funding illiquidity, the default premium and the market-wide variance risk premium as factors significantly explains the cross-sectional variability of expected excess returns. The (asymptotically) different from zero adjusted cross-sectional R-squared statistic is 83.6%.
Open Access
Spillover dynamics effects between risk-neutral equity and treasury volatilities
(Springer, 2022) González Urteaga, Ana; Nieto, Belén; Rubio, Gonzalo; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas; Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa
Macro-finance asset pricing models provide a rationale for connectedness dynamics between equity and Treasury risk-neutral volatilities. In this paper, we study the total and directional connectedness, in the sense of spillover effects, between risk-neutral volatilities from the equity and Treasury markets. In addition, we analyze the economic and monetary drivers of connectedness dynamics. Most of the time, but especially during bad economic times, we find significant net spillovers from Treasury to equity risk-neutral volatility. The spillover channel between risk-neutral volatilities arises mainly through the government fixed income market.
Open Access
Volatility transmission among European Bank CDS
(Universidad de Castilla-La Mancha, 2014) Alemany, Aida; Ballester Miquel, Laura; González Urteaga, Ana; Gestión de Empresas; Enpresen Kudeaketa
A partir de la crisis subprime en 2007 y hasta la reciente crisis de deuda de la zona euro el sector bancario europeo ha experimentado una terrible situación de inestabilidad financiera traducida en un aumento de los niveles de los CDS (utilizados como aproximación del riesgo de crédito). Este trabajo investiga si los canales de transmisión de volatilidad en los mercados bancarios europeos han cambiado después de tres importantes eventos de crisis durante el período comprendido entre enero de 2006 y marzo de 2013. La crisis financiera global se ha caracterizado por un efecto spillover unidireccional de los shocks en volatilidad del riesgo de crédito desde el interior al exterior de la Eurozona. Por el contrario, la crisis de deuda de la Eurozona se revela como una crisis de naturaleza local con el euro como elemento clave, lo que deja de manifiesto la existencia de una fragmentación del mercado entre los países periféricos más castigados por la crisis y los países del centro de la Eurozona con menores dificultades, mientras que por otro lado, mantener la moneda local ha actuado como cortafuegos. Estos resultados arrojan luz sobre el impacto del riesgo de crédito bancario en Europa para diferentes estados de crisis financieras.
Open Access
Green bond issuance and credit risk: international evidence
(Elsevier, 2024) Ballester Miquel, Laura; González Urteaga, Ana; Shen, L.; Gestión de Empresas; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa, PJUPNA2023-11379
We present the first empirical study of the impact of corporate green bond issuance announcements on issuer credit risk, as measured by their CDS spreads. We use a broad international sample of 1,048 green bonds issued between 2013 and 2022 by 200 entities from 26 countries. Our analysis reveals a significant, though not uniform, reaction in the CDSs. The sector of activity emerges as a critical determinant, particularly with respect to environmental exposure. While sectors highly exposed to environmental risk exhibit a reduction in issuer credit risk, all others, especially financial entities, react in the opposite direction. Our study highlights that the impact on credit risk is influenced by several other factors, including the issuer's overall ESG score, its E score, and various country-level metrics such as development level, environmental performance and political rights. We also identify other factors that affect credit risk, such as green bond ratings and operating cash flow.