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dc.creatorAlemany, Aidaes_ES
dc.creatorBallester Miquel, Lauraes_ES
dc.creatorGonzález Urteaga, Anaes_ES
dc.date.accessioned2019-09-06T07:11:27Z
dc.date.available2019-09-06T07:11:27Z
dc.date.issued2015
dc.identifier.issn1544-6123
dc.identifier.urihttps://hdl.handle.net/2454/34751
dc.description.abstractFrom 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.en
dc.description.sponsorshipThe authors would like to express their gratitude for the funding received from Fundación Ramón Areces. A. González-Urteaga acknowledges financial support from ECO2012-35946-C02-01 and ECO2012-34268.en
dc.format.extent13 p.
dc.format.mimetypeapplication/pdfen
dc.language.isoengen
dc.publisherElsevieren
dc.relation.ispartofFinance Research Letters, 13 (2015) 137-147en
dc.rights© 2015 Elsevier Inc. The manuscript version is made available under the CC BY-NC-ND 4.0 license.en
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectCDS spreadsen
dc.subjectCredit risken
dc.subjectVolatility spilloversen
dc.subjectFinancial crisisen
dc.titleVolatility spillovers in the European bank CDS marketen
dc.typeinfo:eu-repo/semantics/articleen
dc.typeArtículo / Artikuluaes
dc.contributor.departmentGestión de Empresases_ES
dc.contributor.departmentEnpresen Kudeaketaeu
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessen
dc.rights.accessRightsAcceso abierto / Sarbide irekiaes
dc.identifier.doi10.1016/j.frl.2015.02.003
dc.relation.projectIDinfo:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01/ES/en
dc.relation.projectIDinfo:eu-repo/grantAgreement/MINECO//ECO2012-34268/ES/en
dc.relation.publisherversionhttps://doi.org/10.1016/j.frl.2015.02.003
dc.type.versioninfo:eu-repo/semantics/acceptedVersionen
dc.type.versionVersión aceptada / Onetsi den bertsioaes


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© 2015 Elsevier Inc. The manuscript version is made available under the CC BY-NC-ND 4.0 license.
La licencia del ítem se describe como © 2015 Elsevier Inc. The manuscript version is made available under the CC BY-NC-ND 4.0 license.

El Repositorio ha recibido la ayuda de la Fundación Española para la Ciencia y la Tecnología para la realización de actividades en el ámbito del fomento de la investigación científica de excelencia, en la Línea 2. Repositorios institucionales (convocatoria 2020-2021).
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