Listar Dpto. Gestión de Empresas - Enpresen Kudeaketa Saila por autor "Ballester Miquel, Laura"
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Bank fragility and contagion: evidence from the bank CDS market
Ballester Miquel, Laura; Casu, Barbara; González Urteaga, Ana (Elsevier, 2016) Artículo / ArtikuluaUnderstanding 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) ... -
An empirical investigation of the effect of credit ratings on sovereign credit risk
Ballester Miquel, Laura; González Urteaga, Ana (Universidad de Castilla La Mancha, 2015) Documento de trabajo / Lan gaiakWe 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 ... -
Future directions in international financial integration research. A crowdsourced perspective
Lucey, Brian M.; Vigne, Samuel A.; Ballester Miquel, Laura; Barbopoulos, Leonidas; Brzeszczynski, Janusz; Carchano, Óscar; Dimic, Nebojsa; Fernández, Viviana; Gogolin, Fabian; González Urteaga, Ana (Elsevier, 2018) Artículo / ArtikuluaThis paper is the result of a crowdsourced effort to surface perspectives on the present and future direction of international finance. The authors are researchers in financial economics who attended the INFINITI 2017 ... -
How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets
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 ... -
Is there a connection between sovereign CDS spreads and the stock market? Evidence for European and US returns and volatilities
This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over ... -
The nexus between sovereign CDS and stock market volatility: new evidence
Ballester Miquel, Laura; Escrivá, Ana Mónica; González Urteaga, Ana (MDPI, 2021) Artículo / ArtikuluaThis paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices. This estimation is performed ... -
A systematic review of sovereign connectedness on emerging economies
Ballester Miquel, Laura; Díaz Mendoza, Ana Carmen; González Urteaga, Ana (Elsevier, 2019) Artículo / ArtikuluaThis 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 ... -
Transmisión del riesgo de crédito en el sector bancario Europeo: crisis subprime y deuda soberana
Ballester Miquel, Laura; González Urteaga, Ana ; Tudela Ferrándiz, David (Taylor & Francis, 2014) Artículo / ArtikuluaEl 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 ... -
Volatility spillovers in the European bank CDS market
Alemany, Aida; Ballester Miquel, Laura; González Urteaga, Ana (Elsevier, 2015) Artículo / ArtikuluaFrom 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 ... -
Volatility transmission among European Bank CDS
Alemany, Aida; Ballester Miquel, Laura; González Urteaga, Ana (Universidad de Castilla-La Mancha, 2014) Documento de trabajo / Lan gaiakA 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 ...