Guarantee requirements by European central counterparties and international volatility spillovers

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dc.contributor.authorGonzález Urteaga, Ana
dc.contributor.authorRubio Irigoyen, Gonzalo
dc.contributor.departmentEnpresen Kudeaketaeu
dc.contributor.departmentInstitute for Advanced Research in Business and Economics - INARBEen
dc.contributor.departmentGestión de Empresases_ES
dc.date.accessioned2022-09-06T12:00:09Z
dc.date.issued2022
dc.date.updated2022-09-06T11:39:03Z
dc.description.abstractThis analysis addressed the potential systemic effects of guarantee requirements by central counterparties. Using data from the Spanish BME and German Eurex central clearing counterparties and controlling for tail risk and monetary and real activity variables, we found a significant, positive, and robust relationship between the guarantees required and the spillover or total connectedness effects among nine financial assets in the Spanish, United States, and German capital markets. Bad economic times also had a significant incremental effect on the relationship between guarantees and connectedness. These findings are robust across central clearing corporations and futures contracts in the IBEX 35, DAX 30, and EURO STOXX 50. In addition, an event study indicated that global spillover effects tend to increase before central counterparty institutions raise their guarantees. The implication of the findings is that European clearing institutions react to rather than cause bad economic times.en
dc.description.sponsorshipThe authors acknowledge financial support from the Ministry of Science, Innovation, and Universities through grant PGC2018-095072-B-I00. In addition, Gonzalo Rubio acknowledges financial support from Generalitat Valencia grant Prometeo/2017/158 and Ana González-Urteaga acknowledges financial support through grant PID2019-104304GBI00 funded by MCIN/AEI/10.13039/501100011033, and UPNA Research Grant for Young Researchers, Edition 2018.en
dc.embargo.inicio2022-09-06
dc.embargo.lift2025-02-10
dc.embargo.terms2025-02-10
dc.format.mimetypeapplication/pdfen
dc.identifier.citationGonzález-Urteaga, A.; Rubio, G.. (2022). Guarantee requirements by European central counterparties and international volatility spillovers. Research in international business and finance. 62, 1-18 .en
dc.identifier.doi10.1016/j.ribaf.2022.101629
dc.identifier.issn0275-5319
dc.identifier.urihttps://academica-e.unavarra.es/handle/2454/43960
dc.language.isoengen
dc.publisherJAI Pressen
dc.relation.ispartofResearch in International Business and Finance, 2022en
dc.relation.projectIDinfo:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PGC2018-095072-B-I00/ES/
dc.relation.projectIDinfo:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-104304GB-I00/ES/
dc.relation.publisherversionhttps://doi.org/10.1016/j.ribaf.2022.101629
dc.rights© 2022 Elsevier B.V. This manuscript version is made available under the CC-BY-NC-ND 4.0en
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectCentral clearingen
dc.subjectGuaranteesen
dc.subjectMarginingen
dc.subjectTotal connectednessen
dc.subjectVolatility spilloversen
dc.subjectSystemic risken
dc.titleGuarantee requirements by European central counterparties and international volatility spilloversen
dc.typeinfo:eu-repo/semantics/article
dc.type.versioninfo:eu-repo/semantics/publishedVersion
dspace.entity.typePublication
relation.isAuthorOfPublication095d724d-61c5-408c-b091-6ea37e9beb6b
relation.isAuthorOfPublication.latestForDiscovery095d724d-61c5-408c-b091-6ea37e9beb6b

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