Spillover dynamics effects between risk-neutral equity and Treasury volatilities
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| Título: | Spillover dynamics effects between risk-neutral equity and Treasury volatilities |
|---|---|
| Autor/es: | González-Urteaga, Ana | Nieto, Belén | Rubio Irigoyen, Gonzalo |
| Grupo/s de investigación o GITE: | Finanzas de Mercado y Econometría Financiera |
| Centro, Departamento o Servicio: | Universidad de Alicante. Departamento de Economía Financiera y Contabilidad |
| Palabras clave: | Risk-neutral equity volatility | Risk-neutral Treasury volatility | Total connectedness | Directional connectedness | Real and monetary economic drivers |
| Área/s de conocimiento: | Economía Financiera y Contabilidad |
| Fecha de publicación: | 6-jun-2022 |
| Editor: | Springer Nature |
| Cita bibliográfica: | SERIEs. 2022, 13: 663-708. 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 Treasury markets. 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. |
| Patrocinador/es: | This study was funded by the Ministerio de Ciencia, Innovación y Universidades (PGC2018-095072-B-I00), the Conselleria d’Educació, Investigació, Cultura I Esports (Prometeo/2017/158), the Secretaría de Estado de Investigación, Desarrollo e Innovación (PID2019-104304-GB-I00), and the Universidad Pública de Navarra (Grant for Young Researchers, 2018). |
| URI: | http://hdl.handle.net/10045/124304 |
| ISSN: | 1869-4187 (Print) | 1869-4195 (Online) |
| DOI: | 10.1007/s13209-022-00264-w |
| Idioma: | eng |
| Tipo: | info:eu-repo/semantics/article |
| Derechos: | © The Author(s) 2022. Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/. |
| Revisión científica: | si |
| Versión del editor: | https://doi.org/10.1007/s13209-022-00264-w |
| Aparece en las colecciones: | INV - Finanzas de Mercado y Econometría Financiera - Artículos de Revistas |
Archivos en este ítem:
| Archivo | Descripción | Tamaño | Formato | |
|---|---|---|---|---|
 Gonzalez-Urteaga_etal_2022_SERIEs.pdf | 2,33 MB | Adobe PDF | Abrir Vista previa | |
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