Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10637/10688
Título : An analysis of connectedness dynamics between risk-neutral equity and treasury volatilities / Ana González-Urteaga, Belén Nieto [and] Gonzalo Rubio.
Autor : González Urteaga, Ana.
Nieto Doménech, Belén Adoración.
Rubio Irigoyen, Gonzalo.
Materias: Beneficios.Treasury.Riesgo (Economía)Monetary policy.Profit.Tesoro público.Política monetaria.Risk.
Fecha de publicación : 4-sep-2018
Citación : González-Urteaga, A., Nieto, B. & Rubio, G. (2018). An analysis of connectedness dynamics between risk-neutral equity and treasury volatilities.
Resumen : This paper studies the joint behavior of equity (VIX) and Treasury (MOVE) risk-neutral volatilities to understand the total and directional connectedness between both option-based implied volatilities, as well as their economic and monetary drivers. Moreover, we analyze whether risk aversion and financial, macroeconomic and policy uncertainty affect connectedness dynamics. Most of the time, but especially during bad economic times, we find significant net spillovers from Treasury to equity risk-neutral volatility. Future and contemporaneous good times increase the spillovers from VIX to MOVE, while bad economic times increase the directional connectedness from MOVE to VIX.
Descripción : La versión de este documento de trabajo corresponde al 4 de septiembre de 2018.
URI : http://hdl.handle.net/10637/10688
Derechos: http://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
Aparece en las colecciones: Dpto. Economía y Empresa




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