Por favor, use este identificador para citar o enlazar este ítem:
http://hdl.handle.net/10637/14425Spillover dynamics effects between risk-neutral equity and Treasury volatilities
| 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 |
Los ítems de DSpace están protegidos por copyright, con todos los derechos reservados, a menos que se indique lo contrario.