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Spillover dynamics effects between risk-neutral equity and Treasury volatilities


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Título : Spillover dynamics effects between risk-neutral equity and Treasury volatilities
Autor : González Urteaga, Ana
Nieto Doménech, Belén Adoración
Rubio Irigoyen, Gonzalo
Materias: Mercados.Markets.Tesoro público.Risk.Treasury.Riesgo (Economía)
Editorial : Springer Nature
Citación : 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, vol. 13, i. 4 (dec.), pp. 663-708. DOI: https://doi.org/10.1007/s13209-022-00264-w
Resumen : 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 Treasurymarkets. 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.
Descripción : Este artículo se encuentra disponible en la siguiente URL: https://link.springer.com/article/10.1007/s13209-022-00264-w
URI : http://hdl.handle.net/10637/14425
Derechos: http://creativecommons.org/licenses/by/4.0/deed.es
ISSN : 1869-4187
1869-4195 (Electrónico)
Idioma: es
Fecha de publicación : 13-dic-2022
Centro : Universidad Cardenal Herrera-CEU
Aparece en las colecciones: Dpto. Economía y Empresa





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