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Guarantee requirements by European central counterparties and international volatility spillovers


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Título : Guarantee requirements by European central counterparties and international volatility spillovers
Autor : González Urteaga, Ana
Rubio Irigoyen, Gonzalo
Materias: Riesgo (Economía)Markets.Mercados.Risk.
Editorial : Elsevier
Citación : González-Urteaga, A. & Rubio, G. (2022). Guarantee requirements by European central counterparties and international volatility spillovers. Research in International Business and Finance, vol. 62 (dec.), art. 101629. DOI: https://doi.org/10.1016/j.ribaf.2022.101629
Resumen : 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.
Descripción : Este artículo se encuentra disponible en la siguiente URL: https://www.sciencedirect.com/science/article/pii/S0275531922000174
URI : http://hdl.handle.net/10637/14424
Derechos: http://creativecommons.org/licenses/by/4.0/deed.es
ISSN : 0275-5319
1878-3384 (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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