Person:
González Urteaga, Ana

Profile Picture

Email Address

person.page.identifierURI

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

Birth Date

Research Projects

Organizational Units

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.upna

810168

Name

Filters

2014 - 201952020 - 20242
Reset filters

Settings

Subject: CDS spreads ×

Search Results

Now showing 1 - 7 of 7
  • Thumbnail Image
    PublicationOpen Access
    Transmisión del riesgo de crédito en el sector bancario Europeo: crisis subprime y deuda soberana
    (Taylor & Francis, 2014) Ballester Miquel, Laura; González Urteaga, Ana; Tudela Ferrándiz, David; Gestión de Empresas; Enpresen Kudeaketa
    El objetivo del presente trabajo es analizar en profundidad la transmisión del riesgo de crédito, aproximado por los CDS spreads, en el sector bancario europeo durante el periodo 2006-2012, intentando dar respuesta a diversas cuestiones: (i) ¿existe evidencia de transmisión del riesgo de crédito entre las entidades financieras europeas de la Eurozona y las que no pertenecen a dicha zona?, (ii) ¿es esta transmisión bidireccional o unidireccional?, (iii) concretamente, ¿qué países han liderado dicha transmisión?, y (iv) ¿cómo se ha visto afectada dicha transmisión con las recientes crisis financieras? Los resultados indican un cambio significativo en la transmisión del riesgo de crédito con el estallido de la crisis subprime, con un efecto notable proveniente de los bancos de la Eurozona hacia los que no pertenecen a dicha zona.
  • Thumbnail Image
    PublicationOpen 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.
  • Thumbnail Image
    PublicationOpen Access
    Do sovereign ratings cause instability in cross-border emerging CDS markets?
    (Elsevier, 2021) Ballester Miquel, Laura; González Urteaga, Ana; Institute for Advanced Research in Business and Economics - INARBE
    We analyse the cross-border transmission effect of credit ratings on sovereign CDSs covering a broad sample of emerging countries during the period 2004 to 2015. This study differentiates between the spillover and competition effects between and within geographical areas of emerging countries. We find substantial evidence of cross-border effects with asymmetric responses to upgrades and downgrades. The market reaction differs across regions, reflecting how the international and local impact of rating events are due to different types of effects. At the international portfolio level, the competitive effect is dominant over the spillover effect. Negative events in Asia benefit Africa (which is also negatively affected by upgrades in Asia) and Middle East, the latter transmitting in turn to Asia with the same competitive effect. However, some spillover effects are also found both at the portfolio and intra-portfolio levels. The ones associated with downgrades are especially sensitive. In these cases, we identify the particular emerging economies that contribute to an increase in financial instability and to regional spillover effects.
  • Thumbnail Image
    PublicationOpen 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 Kudeaketa
    This 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.
  • Thumbnail Image
    PublicationOpen 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.
  • Thumbnail Image
    PublicationOpen 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.
  • Thumbnail Image
    PublicationOpen Access
    Volatility spillovers in the European bank CDS market
    (Elsevier, 2015) Alemany, Aida; Ballester Miquel, Laura; González Urteaga, Ana; Gestión de Empresas; Enpresen Kudeaketa
    From the 2007 subprime crisis to the recent Eurozone debt crisis,the banking industry has experienced terrible financial instabilitywith increasing volatility levels of bank default probability. UsingEuropean CDS spreads data from January 2006 to March 2013, thispaper sheds light on the impact of three recent significant events ofcredit risk volatility transmission between, firstly, Eurozone andnon-Eurozone banks, and then between distressed peripheral andcore countries inside the Eurozone. We employ an asymmetricmultivariate BEKK model to measure cross-market volatility spil-lovers. We find that both recent crises are distinct episodes. Theglobal financial crisis that originated outside Europe is character-ized by unidirectional volatility spillovers in credit risk from insideto outside the Eurozone. By contrast, the Eurozone debt crisis isrevealed to be local in nature with the euro as the key element,suggesting a financial market fragmentation within the Eurozonebetween distressed peripheral and non-distressed core Eurozonecountries, whereas retaining the local currency has acted as afirewall.