Spillover dynamics effects between risk-neutral equity and treasury volatilities

González Urteaga, Ana; Nieto, Belén; Rubio, Gonzalo

Publication:
Spillover dynamics effects between risk-neutral equity and treasury volatilities

dc.contributor.author	González Urteaga, Ana
dc.contributor.author	Nieto, Belén
dc.contributor.author	Rubio, Gonzalo
dc.contributor.department	Enpresen Kudeaketa	eu
dc.contributor.department	Institute for Advanced Research in Business and Economics - INARBE	en
dc.contributor.department	Gestión de Empresas	es_ES
dc.contributor.funder	Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa	es
dc.date.accessioned	2022-08-09T11:04:15Z
dc.date.available	2022-08-09T11:04:15Z
dc.date.issued	2022
dc.date.updated	2022-08-09T10:59:41Z
dc.description.abstract	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.	en
dc.description.sponsorship	This study was funded by the Ministerio de Ciencia, Innovación y Universidades (PGC2018-095072-B-I00), the Conselleria d'Educació, Investigació, Cultura I Esports (Prometeo/2017/158), the Secretaría de Estado de Investigación, Desarrollo e Innovación (PID2019-104304-GB-I00), and the Universidad Pública de Navarra (Grant for Young Researchers, 2018).	en
dc.format.mimetype	application/pdf	en
dc.identifier.citation	González-Urteaga, A.; Nieto, B.; Rubio, G.. (2022). Spillover dynamics effects between risk-neutral equity and treasury volatilities. SERIEs: Journal of the Spanish Economic Association.	en
dc.identifier.doi	10.1007/s13209-022-00264-w
dc.identifier.issn	1869-4187
dc.identifier.uri	https://academica-e.unavarra.es/handle/2454/43709
dc.language.iso	eng	en
dc.publisher	Springer	en
dc.relation.ispartof	Journal of the Spanish Economic Association, 2022	en
dc.relation.projectID	info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PGC2018-095072-B-I00/ES/	en
dc.relation.projectID	info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-104304GB-I00/ES/	en
dc.relation.publisherversion	https://doi.org/10.1007/s13209-022-00264-w
dc.rights	This article is licensed under a Creative Commons Attribution 4.0 International License	en
dc.rights.accessRights	info:eu-repo/semantics/openAccess
dc.rights.uri	http://creativecommons.org/licenses/by/4.0/
dc.subject	Risk-neutral equity volatility	en
dc.subject	Risk-neutral treasury volatility	en
dc.subject	Total connectedness	en
dc.subject	Directional connectedness	en
dc.subject	Real and monetary economic drivers	en
dc.title	Spillover dynamics effects between risk-neutral equity and treasury volatilities	en
dc.type	info:eu-repo/semantics/article
dc.type.version	Versión publicada / Argitaratu den bertsioa	es
dc.type.version	info:eu-repo/semantics/publishedVersion	en
dspace.entity.type	Publication
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