2. Universidad Cardenal Herrera-CEU

This 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.

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.

El presente artículo pretende describir cuáles son los valores económicos más importantes en estos momentos, centrándose sobre todo en aquellos que dirigen la política pública en unos tiempos de crisis como los que estamos viviendo. Constata el artículo cómo estos valores no solo fueron esenciales para determinar las políticas que nos llevaron a la situación de crisis que vivimos, sino también lo están siendo para implementar unas medidas que no están dando los resultados apetecidos y que no van a sacar por sí solas a nuestras economías de la situación en la que se encuentran. El artículo argumenta que solamente cambiando estos valores que orientan nuestras decisiones, podría ponerse fin a esta cascada de medidas ineficaces y reconstruirse un sistema de mercado sobre unas bases más solidas. / This article tries to describe the most important economic values at this moment, mainly focusing in the people who manage public opinion during the current crisis. This article states that these values were not only essential determining policies which led us to the current crisis situation but are also being essential to carry out actions that are not getting the expected results and neither are going to get, by themselves, our economies out of the situation where they are. The article argues that the only way to finish all these useless actions and to rebuilt the market on a solid base, is to change these values directing our policies.