International swap market contagion and volatility

Azad, A. S. M. Sohel; Batten, Jonathan A.; Fang, Victor; Wickramanayake, Jayasinghe

doi:10.1016/j.econmod.2015.02.001

Cited by 9 publications

(1 citation statement)

References 66 publications

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“…3 correlation coefficients (e.g., Brière et al, 2012, Forbes and Rigobon, 2001, Kim et al, 2015, King and Wadhwani, 1990, Sohel Azad et al, 2015, Støve et al, 2014, Wang et al, 2017, single regression and VAR-based approaches (e.g., Baur and Schulze, 2005, Blatt et al, 2015, Climent and Meneu, 2003, Rigobon, 2003, Samarakoon, 2017, multivariate GARCH models (e.g., Bonga-Bonga, 2018, Dungey et al, 2015, Hamao et al, 1990, Mollah et al, 2016, copulas (e.g., Jayech, 2016, Philippas and Siriopoulos, 2013, Rodriguez, 2007, quantile regressions (e.g., Baur and Schulze, 2005, Caporin et al, 2018, Ye et al, 2017, and other approaches 2 The overwhelming majority of studies in this area report empirical evidence broadly in support of the hypothesis that contagious spillovers between markets exist, for a variety of crisis episodes, countries, data frequencies, etc. (with Forbes and Rigobon, 2002, who argue against the prevalent existence of contagion, being one of the few and maybe the most prominent exception).…”

Section: Accepted Manuscriptmentioning

confidence: 99%

Day-of-the-week effects in financial contagion

Sewraj

Gębka

2019

Finance Research Letters

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Section: Accepted Manuscriptmentioning

confidence: 99%

Day-of-the-week effects in financial contagion

Sewraj

Gębka

2019

Finance Research Letters

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Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion

Gómez‐Puig

Sosvilla‐Rivero

2016

Economic Modelling

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This paper tries to contribute to the understanding of sovereign debt crises' pattern by empirically investigating the determinants of the recent euro area crisis to assess if its transmission was due to "pure" or "fundamentals-based" contagion. Using sovereign bond yield spreads with respect to Germany for a sample of ten central and peripheral countries from January 1999 to December 2012, we firstly examine the dynamic evolution of Granger-causality within the 90 pairs of yield spreads in our sample to detect episodes of contagion (associated with episodes of significant intensification in causality). Secondly, we make use of a logit model to explore whether there is evidence of "pure contagion" or "fundamentals-based contagion", by trying to determine which factors might have been behind the detected contagion episodes. Our results suggest that contagion episodes are concentrated just after the inception of the EMU and matching the global financial crisis, yielding more accurate and sensible indicators than those obtained from DCC-GARCH models used in prior studies. Indeed, they preceded the outburst of the global financial crisis (causality intensification is detected from March 2008), and reached a peak during January-May 2011. Furthermore, they underline the coexistence of "pure" and "fundamentals-based contagion" during the recent European debt crisis.

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Volatility spillovers between foreign exchange and stock markets in industrialized countries

Morales‐Zumaquero

Sosvilla‐Rivero

2018

The Quarterly Review of Economics and Finance

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This paper empirically analyses the evidence of intra-spillovers and inter-spillovers between foreign exchange and stock markets in the seven economies which constitute the majority of foreign exchange transactions (i.e. the United Kingdom, the United States, the Euro area, Australia, Switzerland, Canada, and Japan). Daily data during the period 1 January 1990 to 31 December 2015 and during the pre-global and post-global financial crisis periods is used. To that end, we employ two econometric methodologies: the C-GARCH methodology and the SVAR framework. Results suggest that: (i) permanent and transitory components of the conditional variance exhibit peaks in volatility during episodes of growing economic and financial instability; (ii) the long-run volatility relationships are stronger than the short-run volatility linkages with a reinforcement during the post-global financial crisis period; (iii) the presence of intra-spillovers and inter-spillovers increases substantially during the post-global financial crisis period and (iv) the stock markets play a dominant role in the transmission of long-run and short-run volatility in all samples, except for the period after the global financial crisis, where the foreign exchange markets are the main long-run volatility triggers.

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International swap market contagion and volatility

Cited by 9 publications

References 66 publications

Day-of-the-week effects in financial contagion

Day-of-the-week effects in financial contagion

Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion

Volatility spillovers between foreign exchange and stock markets in industrialized countries

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