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Carmen Broto

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Carmen Broto & Luis Molina, 2014. "Sovereign ratings and their asymmetric response to fundamentals," Working Papers 1428, Banco de España.

    Mentioned in:

    1. L’asymétrique réponse des notations souveraines aux fondamentaux
      by ? in D'un champ l'autre on 2014-12-14 23:57:00

Working papers

  1. Carmen Broto & Luis Fernández Lafuerza & Mariya Melnychuk, 2022. "Do buffer requirements for european systemically important banks make them less systemic?," Working Papers 2243, Banco de España.

    Cited by:

    1. Arnone, Massimo & Costantiello, Alberto & Leogrande, Angelo, 2025. "Analyzing Risk Exposure Determinants in European Banking: A Regulatory Perspective," MPRA Paper 123190, University Library of Munich, Germany.
    2. Carlos Pérez Montes & Jorge E. Galán & María Bru & Julio Gálvez & Alberto García & Carlos González & Samuel Hurtado & Nadia Lavín & Eduardo Pérez Asenjo & Irene Roibás, 2023. "Systemic analysis framework for the impact of economic and financial risks," Occasional Papers 2311, Banco de España.

  2. Banco de España Strategic Plan 2024: Risk identification for the financial and macroeconomic stability, 2021. "How do central banks identify risks? A survey of indicators," Occasional Papers 2125, Banco de España.

    Cited by:

    1. Andrés Giovanni Camacho Ardila & Federico Hernández Álvarez & Luis Ignacio Román de la Sancha, 2023. "Ciclos en el Sector Bancario Mexicano: un Índice Coincidente (CP1G7) vía ACP," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 18(4), pages 1-25, Octubre -.

  3. Carmen Broto & Matías Lamas, 2019. "Is market liquidity less resilient after the financial crisis? Evidence for us treasuries," Working Papers 1917, Banco de España.

    Cited by:

    1. Boneva, Lena & Islami, Mevlud & Schlepper, Kathi, 2024. "Liquidity in the German corporate bond market: Has the CSPP made a difference?," Journal of International Money and Finance, Elsevier, vol. 147(C).
    2. Chen, Yilin & Sun, Chentong, 2024. "A new method for measuring financial resilience," Economics Letters, Elsevier, vol. 242(C).
    3. Tang, Chun & Liu, Xiaoxing & Zhou, Donghai, 2022. "Financial market resilience and financial development: A global perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    4. Linas Jurksas & Deimante Teresiene & Rasa Kanapickiene, 2021. "Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions," Economies, MDPI, vol. 9(1), pages 1-22, March.
    5. Hossain, Md. Jamal & Akter, Sadia & Ismail, Mohd Tahir, 2021. "Performance Analysis of GARCH Family Models in Three Time-frames," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(2), pages 15-28.
    6. Chen, Yilin & Sun, Chentong & Zhang, Xu, 2025. "Analyzing and forecasting China's financial resilience: Measurement techniques and identification of key influencing factors," Journal of Financial Stability, Elsevier, vol. 76(C).
    7. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
    8. Artur Akhmetov & Anna Burova & Natalia Makhankova & Alexey Ponomarenko, 2024. "Measuring Market Liquidity and Liquidity Mismatches Across Sectors," Springer Books, in: Alexander Karminsky & Mikhail Stolbov (ed.), Systemic Financial Risk, chapter 0, pages 131-194, Springer.
    9. Zhuang, Yangyang & Zhang, Ditian & Tang, Pan & Peng, Hongjuan, 2024. "Clustering effects and evolution of the global major 10-year government bond market structure: A network perspective," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    10. O’Sullivan, Conall & Papavassiliou, Vassilios G. & Wafula, Ronald Wekesa & Boubaker, Sabri, 2024. "New insights into liquidity resiliency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
    11. Xu, Dandan & Liu, Yuting, 2024. "How does technological progress affect provincial financial resilience? Evidence at the provincial level in China," Emerging Markets Review, Elsevier, vol. 60(C).
    12. Sun, Chentong & Yi, Shangkun & Wu, Fenglin & Li, Yanshuang & Dong, Zibing, 2025. "Mainshocks and aftershocks: Assessing the resilience of Asia-Pacific stock markets amid global financial cycle shocks," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
    13. Ilyas Ahnach & Said Tounsi, 2025. "La Technologie Blockchain Et La Resilience Du Marche Financier : Etude D'Impact Et De Relation, Cas De La Bourse De Casablanca," Post-Print hal-05135043, HAL.
    14. Sifat, Imtiaz & Zarei, Alireza & Hosseini, Seyedmehdi & Bouri, Elie, 2022. "Interbank liquidity risk transmission to large emerging markets in crisis periods," International Review of Financial Analysis, Elsevier, vol. 82(C).

  4. Carmen Broto & Matías Lamas, 2016. "Measuring market liquidity in us fixed income markets: a new synthetic indicator," Working Papers 1608, Banco de España.

    Cited by:

    1. Boneva, Lena & Islami, Mevlud & Schlepper, Kathi, 2024. "Liquidity in the German corporate bond market: Has the CSPP made a difference?," Journal of International Money and Finance, Elsevier, vol. 147(C).
    2. Carmen Broto & Matías Lamas, 2019. "Is market liquidity less resilient after the financial crisis? Evidence for us treasuries," Working Papers 1917, Banco de España.
    3. Coppola, Anna & Urga, Giovanni & Varaldo, Alessandro, 2025. "Asset class liquidity risk indicators. Timing the risk in the European and US equity and bond markets," Journal of Financial Stability, Elsevier, vol. 76(C).
    4. Diego Alejandro Martínez-Cruz, 2021. "Indicador Combinado de Liquidez para la Deuda Pública Local Colombiana," Borradores de Economia 1167, Banco de la Republica de Colombia.
    5. Díaz, Antonio & Escribano, Ana, 2022. "Liquidity dimensions in the U.S. corporate bond market," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1163-1179.
    6. Woradee Jongadsayakul, 2023. "The Launch of a Night Trading Session and Currency Futures Market Liquidity: Evidence from the Thailand Futures Exchange," JRFM, MDPI, vol. 16(10), pages 1-15, October.
    7. Díaz, Antonio & Escribano, Ana, 2020. "Measuring the multi-faceted dimension of liquidity in financial markets: A literature review," Research in International Business and Finance, Elsevier, vol. 51(C).
    8. María Isabel Cambón Murcia & José Luis Cano Coello & Jesús González Redondo, 2017. "Measuring liquidity of Spanish debt," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.

  5. Carmen Broto & Luis Molina, 2014. "Sovereign ratings and their asymmetric response to fundamentals," Working Papers 1428, Banco de España.

    Cited by:

    1. Hasan, Iftekhar & Kim, Suk-Joong & Politsidis, Panagiotis N. & Wu, Eliza, 2021. "Loan syndication under Basel II: How do firm credit ratings affect the cost of credit?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    2. Elena Rodríguez de Codes & Antonio Marcelo & Roberto Blanco & Sergio Mayordomo & Fabián Arrizabalaga & Patricia Stupariu, 2020. "The challenges associated with the use of agencies’ credit ratings in the context of the COVID-19 crisis," Financial Stability Review, Banco de España, issue Autumn.
    3. Montes, Gabriel Caldas & Valladares, Matheus & de Moraes, Claudio Oliveira, 2021. "Impacts of the sovereign risk perception on financial stability: Evidence from Brazil," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 358-369.
    4. Krishna Reddy & Rudi Bosman & Nawazish Mirza, 2019. "Impact Of Credit Ratings On Stock Returns," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(3), pages 343-366, January.
    5. Guillaume Horny & M. Manganelli & Benoit Mojon, 2016. "Measuring Financial Fragmentation in the Euro Area Corporate Bond Market," Working papers 582, Banque de France.
    6. Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2024. "Quantifying sovereign risk in the euro area," IREA Working Papers 202403, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
    7. Gabriel Caldas Montes & Diego Silveira Pacheco Oliveira, 2019. "Central bank transparency and sovereign risk ratings: a panel data approach," International Economics and Economic Policy, Springer, vol. 16(2), pages 417-433, April.
    8. Cuadros-Solas, Pedro Jesús & Salvador Muñoz, Carlos, 2022. "Disentangling the sources of sovereign rating adjustments: An examination of changes in rating policies following the GFC," Research in International Business and Finance, Elsevier, vol. 59(C).
    9. Gabriel Caldas Montes & Diego S. P. Oliveira & Helder Ferreira Mendonça, 2016. "Sovereign Credit Ratings in Developing Economies: New Empirical Assessment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(4), pages 382-397, October.
    10. Cuadros-Solas, Pedro J. & Salvador, Carlos & Suárez, Nuria, 2021. "Am I riskier if I rescue my banks? Beyond the effects of bailouts," Journal of Financial Stability, Elsevier, vol. 56(C).
    11. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2021. "On the duration of sovereign ratings cycle phases," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 512-526.
    12. Hasan, Iftekhar & Kim, Suk-Joong & Politsidis, Panagiotis & Wu, Eliza, 2020. "Syndicated bank lending and rating downgrades: Do sovereign ceiling policies really matter?," MPRA Paper 102941, University Library of Munich, Germany.
    13. Myriam Ben Ayed & Adel Karaa & Jean‐Luc Prigent, 2018. "Duration Models For Credit Rating Migration: Evidence From The Financial Crisis," Economic Inquiry, Western Economic Association International, vol. 56(3), pages 1870-1886, July.
    14. Cuadros-Solas, Pedro J. & Salvador, Carlos & Suárez, Nuria, 2025. "Banking supervisory architecture and sovereign risk," Journal of Financial Stability, Elsevier, vol. 76(C).
    15. Iván Kataryniuk & Javier Vallés, 2018. "Fiscal consolidation after the Great Recession: the role of composition," Oxford Economic Papers, Oxford University Press, vol. 70(2), pages 563-585.
    16. Attig, Najah & Driss, Hamdi & El Ghoul, Sadok, 2020. "Rating standards around the world: A puzzle?," Emerging Markets Review, Elsevier, vol. 45(C).
    17. Camacho, Maximo & Romeu, Andres & Ruiz-Marin, Manuel, 2021. "Symbolic transfer entropy test for causality in longitudinal data," Economic Modelling, Elsevier, vol. 94(C), pages 649-661.
    18. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2018. "“Incorporating creditors' seniority into contingent claim models:Application to peripheral euro area countries”," IREA Working Papers 201803, University of Barcelona, Research Institute of Applied Economics, revised Feb 2018.
    19. Luca Agnello & Vitor Castro & Ricardo Sousa, 2019. "The Benevolence of Time, Sound Macroeconomic Environment and Governance Quality on the Duration of Sovereign Ratings Phases," Working Papers 34, European Stability Mechanism.

  6. Carmen Broto & Gabriel Perez-Quiros, 2013. "Disentangling contagion among sovereign cds spreads during the european debt crisis," Working Papers 1314, Banco de España.

    Cited by:

    1. Shahzad, Syed Jawad Hussain & Naifar, Nader & Hammoudeh, Shawkat & Roubaud, David, 2017. "Directional predictability from oil market uncertainty to sovereign credit spreads of oil-exporting countries: Evidence from rolling windows and crossquantilogram analysis," Energy Economics, Elsevier, vol. 68(C), pages 327-339.
    2. Pavlova, Ivelina & de Boyrie, Maria E. & Parhizgari, Ali M., 2018. "A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 10-22.
    3. Georgios Bampinas & Theodore Panagiotidis & Panagiotis Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Post-Print hal-04164277, HAL.
    4. Miguel Antón & Sergio Mayordomo & María Rodríguez-Moreno, 2017. "Dealing with dealers: sovereign CDS comovements," Working Papers 1723, Banco de España.
    5. Ehouman, Yao Axel, 2021. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a copula approach," International Economics, Elsevier, vol. 168(C), pages 76-97.
    6. Choi, Sun-Yong, 2022. "Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 179-193.
    7. Mariam Camarero & Juan Sapena & Cecilio Tamarit, 2020. "Modelling Time-Varying Parameters in Panel Data State-Space Frameworks: An Application to the Feldstein–Horioka Puzzle," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 87-114, June.
    8. Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios, 2016. "Islamic financial markets and global crises: Contagion or decoupling?," Economic Modelling, Elsevier, vol. 57(C), pages 36-46.
    9. Samet Günay & Yanlin Shi, 2016. "Long-Memory in Volatilities of CDS Spreads: Evidences from the Emerging Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 122-137, March.
    10. Gül Huyugüzel Kışla & Y. Gülnur Muradoğlu & A. Özlem Önder, 2022. "Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 277-296, July.
    11. Nicolas DEBARSY & CYRILLE DOSSOUGOIN & Cem ERTUR & Jean-Yves GNABO, 2016. "Measuring Sovereign Risk Spillovers and Assessing the Role of Transmission Channels: A Spatial Econometrics Approach," LEO Working Papers / DR LEO 2441, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    12. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    13. Emilios C. Galariotis & Panagiota Makrichoriti & Spyros Spyrou, 2016. "Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach," Post-Print hal-01358715, HAL.
    14. Haddou, Samira, 2024. "Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    15. Hazar Altınbaş & Vincenzo Pacelli & Edgardo Sica, 2022. "An Empirical Assessment of the Contagion Determinants in the Euro Area in a Period of Sovereign Debt Risk," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 8(2), pages 339-371, July.
    16. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-43.
    17. Yao Axel Ehouman, 2021. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters : Evidence using a Copula Approach," Post-Print hal-03348410, HAL.
    18. Nader Naifar & Shawkat Hammoudeh & Aviral Kumar Tiwari, 2019. "Do Energy and Banking CDS Sector Spreads Reflect Financial Risks and Economic Policy Uncertainty? A Time-Scale Decomposition Approach," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 507-534, August.
    19. Henrique S. Basso & James S. Costain, 2016. "Fiscal Delegation in a Monetary Union with Decentralized Public Spending," CESifo Working Paper Series 5775, CESifo.
    20. Chen, Chih-Chun & Chen, Chun-Da & Lien, Donald, 2024. "Transmission process and determinants of sovereign credit contagions: Global evidence," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 552-567.
    21. Ghulam, Yaseen & Derber, Julian, 2018. "Determinants of sovereign defaults," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 43-55.
    22. Ana Escribano & Cristina Íñiguez, 2021. "The contagion phenomena of the Brexit process on main stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4462-4481, July.
    23. Wenying Yao & Mardi Dungey & Vitali Alexeev, 2020. "Modelling Financial Contagion Using High Frequency Data," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 314-330, September.
    24. Irina Balteanu & Aitor Erce, 2017. "Linking Bank Crises and Sovereign Defaults: Evidence from Emerging Markets," Working Papers 22, European Stability Mechanism.
    25. António Afonso & Mina Kazemi, 2018. "Sovereign Bond Yields Spreads Spillovers in the EMU," Working Papers REM 2018/52, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    26. López-Espinosa, Germán & Moreno, Antonio & Rubia, Antonio & Valderrama, Laura, 2017. "Sovereign tail risk," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 174-188.
    27. amri amamou, souhir & hellara, slaheddine, 2021. "The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?," MPRA Paper 109038, University Library of Munich, Germany.
    28. Henrique S. Basso & James Costain, 2017. "Fiscal delegation in a monetary union: instrument assignment and stabilization properties," Working Papers 1710, Banco de España.
    29. Ballester, Laura & Casu, Barbara & González-Urteaga, Ana, 2016. "Bank fragility and contagion: Evidence from the bank CDS market," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 394-416.
    30. Kocsis, Zalan & Monostori, Zoltan, 2016. "The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences," Emerging Markets Review, Elsevier, vol. 27(C), pages 140-168.
    31. Christian de Peretti & Dorra Hmaied, 2018. "The Credit Default Swap market contagion during recent crises: International evidence," Post-Print hal-01572510, HAL.
    32. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2017. "Sovereign default risk linkage: Implication for portfolio diversification," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 1-16.
    33. António Afonso & Mina Kazemi, 2022. "Sovereign bond yield spreads spillovers in the Economic and Monetary Union," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2615-2626, April.
    34. Ductor, Lorenzo & Leiva-León, Danilo, 2022. "Fluctuations in global output volatility," Journal of International Money and Finance, Elsevier, vol. 120(C).
    35. Hasan Dinçer & Serhat Yüksel & Seçil Şenel, 2018. "Analyzing the Global Risks for the Financial Crisis after the Great Depression Using Comparative Hybrid Hesitant Fuzzy Decision-Making Models: Policy Recommendations for Sustainable Economic Growth," Sustainability, MDPI, vol. 10(9), pages 1-15, September.
    36. Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2024. "Quantifying sovereign risk in the euro area," IREA Working Papers 202403, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
    37. Umberto Muratori, 2014. "Contagion in the Euro Area Sovereign Bond Market," Social Sciences, MDPI, vol. 4(1), pages 1-17, December.
    38. Riadh El Abed & Sahar Boukadida & Warda Jaidane, 2019. "Financial Stress Transmission from Sovereign Credit Market to Financial Market: A Multivariate FIGARCH-DCC Approach," Global Business Review, International Management Institute, vol. 20(5), pages 1122-1140, October.
    39. Emrah BALKAN & Umut UYAR, 2022. "The Fractal Structure of CDS Spreads: Evidence from the OECD Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 106-121, April.
    40. Fabrizio Durante & Enrico Foscolo & Alex Weissensteiner, 2017. "Dependence between Stock Returns of Italian Banks and the Sovereign Risk," Econometrics, MDPI, vol. 5(2), pages 1-14, June.
    41. Heil, Thomas L.A. & Peter, Franziska J. & Prange, Philipp, 2022. "Measuring 25 years of global equity market co-movement using a time-varying spatial model," Journal of International Money and Finance, Elsevier, vol. 128(C).
    42. Li, Tangrong & Sun, Xuchu, 2023. "Is controlling shareholders' credit risk contagious to firms? — Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    43. Mustapha Olalekan Ojo & Luís Aguiar-Conraria & Maria Joana Soares, 2019. "A Time-Frequency Analysis of Sovereign Debt Contagion in Europe," NIPE Working Papers 11/2019, NIPE - Universidade do Minho.
    44. Irina Balteanu & Aitor Erce, 2014. "Bank crises and sovereign defaults in emerging markets: exploring the links," Globalization Institute Working Papers 184, Federal Reserve Bank of Dallas.
    45. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
    46. Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    47. Wang, Qunwei & Liu, Mengmeng & Xiao, Ling & Dai, Xingyu & Li, Matthew C. & Wu, Fei, 2022. "Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    48. Lim, Seo-Yeon & Choi, Sun-Yong, 2024. "Dynamic credit risk transmissions among global major industries: Evidence from the TVP-VAR spillover approach," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    49. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
    50. Sunal, Onur & Yağcı, Filiz, 2024. "The determinants of Turkish CDS volatility: An ARDL approach covering COVID period," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
    51. Yao Axel Ehouman, 2020. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a Copula Approach," EconomiX Working Papers 2020-31, University of Paris Nanterre, EconomiX.
    52. Agata Kliber, 2014. "The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(4), pages 330-350, September.
    53. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
    54. Irina Balteanu & Aitor Erce, 2014. "Banking crises and sovereign defaults in emerging markets: exploring the links," Working Papers 1414, Banco de España.
    55. Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
    56. Mardi Dungey & Stan Hurn & Shuping Shi & Vladimir Volkov, 2019. "Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors," Econometrics, MDPI, vol. 7(1), pages 1-20, January.
    57. Zhang, Wenlong & Zhang, Gaiyan & Helwege, Jean, 2022. "Cross country linkages and transmission of sovereign risk: Evidence from China’s credit default swaps," Journal of Financial Stability, Elsevier, vol. 58(C).
    58. Dirceu Pereira, 2018. "Financial Contagion in the BRICS Stock Markets: An empirical analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 2(1), pages 1-44.
    59. Aitor Erce, 2015. "Bank and sovereign risk feedback loops," Globalization Institute Working Papers 227, Federal Reserve Bank of Dallas.
    60. Shen, Yiran & Feng, Qianqian & Sun, Xiaolei, 2024. "Stability and risk contagion in the global sovereign CDS market under Russia-Ukraine conflict," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    61. Mariam Camarero & Juan Sapena & Cecilio Tamarit, 2024. "Introducing sspaneltvp: a code to estimating state-space time varying parameter models in panels. An application to Okun’s law," Working Papers 2405, Department of Applied Economics II, Universidad de Valencia.
    62. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2018. "“Incorporating creditors' seniority into contingent claim models:Application to peripheral euro area countries”," IREA Working Papers 201803, University of Barcelona, Research Institute of Applied Economics, revised Feb 2018.
    63. Téllez Valle, Cecilia & Martín García, Margarita & Ramón-Jerónimo, María A. & Martín Marín, José Luis, 2020. "Sovereign bond spreads and CDS premia in the Eurozone: A causality analysis || Diferenciales de bonos soberanos y primas de CDS en la zona euro: un análisis de causalidad," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 30(1), pages 58-78, December.

  7. Carmen Broto, 2012. "The effectiveness of forex interventions in four Latin American countries," Working Papers 1226, Banco de España.

    Cited by:

    1. Vargas-Herrera, Hernando & Villamizar-Villegas, Mauricio, 2024. "Effectiveness of FX intervention and the flimsiness of exchange rate expectations," Journal of Financial Stability, Elsevier, vol. 74(C).
    2. Singh, Jitendra & Ahmad, Wasim & Mishra, Anil, 2019. "Coherence, connectedness and dynamic hedging effectiveness between emerging markets equities and commodity index funds," Resources Policy, Elsevier, vol. 61(C), pages 441-460.
    3. Bernardo X. Fernández & Vladimir Fernández Q & E. René Aldazosa, 2018. "Una subasta doble de divisas para la determinación del tipo de cambio en Bolivia," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB) "San Pablo", issue 29, pages 152-189.
    4. Arango-Lozano, Lucía & Menkhoff, Lukas & Rodríguez-Novoa, Daniela & Villamizar-Villegas, Mauricio, 2024. "The effectiveness of FX interventions: A meta-analysis," Journal of Financial Stability, Elsevier, vol. 74(C).
    5. Jara, Alejandro & Piña, Marco, 2023. "Exchange rate volatility and the effectiveness of FX interventions: The case of Chile," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(2).
    6. Melesse Tashu, 2014. "Motives and Effectiveness of Forex Interventions: Evidence from Peru," IMF Working Papers 2014/217, International Monetary Fund.
    7. Соломія Бричка & Денис Клиновський & Дмитро Круковець & Артем Огарков, 2019. "Мета-аналіз: ефект fx-інтервенцій на валютний курс," Suchasni ekonomichni doslidzhennja, Kyiv School of Economics, vol. 2(1), pages 24-47.
    8. Jorge Arenas & Stephany Griffith-Jones, 2023. "Effectiveness of Foreign Exchange Interventions: Evidence and Lessons from Chile," Working Papers Central Bank of Chile 983, Central Bank of Chile.
    9. Martín Tobal & Renato Yslas, 2018. "Two Models of FX Market Interventions: The Cases of Brazil and Mexico," Investigación Conjunta-Joint Research, in: Alberto Ortiz-Bolaños (ed.), Monetary Policy and Financial Stability in Latin America and the Caribbean, edition 1, volume 1, chapter 7, pages 221-257, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
    10. Ghosh, Atish R. & Ostry, Jonathan D. & Qureshi, Mahvash S., 2018. "Taming the Tide of Capital Flows: A Policy Guide," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262037165, December.
    11. Martinez, Valeria & Tse, Yiuman, 2018. "Intraday price discovery analysis in the foreign exchange market of an emerging economy: Mexico," Research in International Business and Finance, Elsevier, vol. 45(C), pages 271-284.
    12. Pablo Pincheira, 2013. "Interventions and inflation expectations in an inflation targeting economy," BIS Working Papers 427, Bank for International Settlements.
    13. Rossini, Renzo & Quispe, Zenón & Serrano, Enrique, 2013. "Foreign Exchange Interventions in Peru," Working Papers 2013-016, Banco Central de Reserva del Perú.
    14. Solomiia Brychka & Denys Klynovskyi & Dmytro Krukovets & Artem Oharkov, 2019. "Meta-Analysis: Meta-Analysis: Effect of FX interventions on the exchange rate," Modern Economic Studies, Kyiv School of Economics, vol. 2(1), pages 24-44.
    15. Erick Lahura & Marco Vega, 2013. "Asymmetric effects of FOREX intervention using intraday data: evidence from Peru," BIS Working Papers 430, Bank for International Settlements.
    16. Santiago García-Verdú & Manuel Ramos-Francia, 2014. "Interventions and Expected Exchange Rates in Emerging Market Economies," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-34.
    17. Jorge Arenas & Stephany Griffith-Jones, 2023. "Effectiveness of Foreign Exchange Interventions Evidence and Lessons from Chile," Working Papers wp546, University of Chile, Department of Economics.
    18. Eichler, Stefan & Roevekamp, Ingmar, 2018. "A market-based measure for currency risk in managed exchange rate regimes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 141-159.
    19. Rossini, Renzo & Quispe, Zenón & Serrano, Enrique, 2014. "Intervención cambiaria en el Perú: 2007 a 2013," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 27, pages 9-24.
    20. García-Verdú Santiago & Zerecero Miguel, 2014. "On Central Bank Interventions in the Mexican Peso/Dollar Foreign Exchange Market," Working Papers 2014-19, Banco de México.
    21. Wenbo Wang & Dieu Thanh Le & Hail Park, 2020. "Is Foreign Exchange Intervention a Panacea in Diversified Circumstances? The Perspectives of Asymmetric Effects," Sustainability, MDPI, vol. 12(7), pages 1-20, April.
    22. Helder Ferreira de Mendonça & Igor da Silva Veiga, 2017. "The open economy trilemma in Latin America: A three-decade analysis," International Finance, Wiley Blackwell, vol. 20(2), pages 135-154, June.
    23. Sikarwar, Ekta, 2020. "Forex interventions and exchange rate exposure: Evidence from emerging market firms," Economic Modelling, Elsevier, vol. 93(C), pages 69-81.
    24. Martin Vesna, 2020. "Intervention Strategies in Foreign Exchange Market," Economic Themes, Sciendo, vol. 58(3), pages 381-399, September.
    25. Anjaly B. & Malabika Deo, 2025. "A study of the effectiveness of central bank intervention in BRICS countries," International Economics and Economic Policy, Springer, vol. 22(1), pages 1-25, February.
    26. Borivoje D. Krušković, 2022. "Central Bank Intervention in the Inflation Targeting," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 11(1), pages 67-85.
    27. Pontines, Victor & Luvsannyam, Davaajargal & Atarbaatar, Enkhjin & Munkhtsetseg, Ulziikhutag, 2021. "The effectiveness of currency intervention: Evidence from Mongolia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).

  8. Juan Carlos Berganza & Carmen Broto, 2011. "Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries," Working Papers 1105, Banco de España.

    Cited by:

    1. Jaromir Benes & Andrew Berg & Rafael Portillo & David Vavra, 2015. "Modeling Sterilized Interventions and Balance Sheet Effects of Monetary Policy in a New-Keynesian Framework," Open Economies Review, Springer, vol. 26(1), pages 81-108, February.
    2. Stan Du Plessis & Monique Brigitte Reid, 2015. "The Exchange Rate Dimension of Inflation Targeting: Target Levels and Currency Volatility," South African Journal of Economics, Economic Society of South Africa, vol. 83(2), pages 174-179, June.
    3. Grossmann, Axel & Love, Inessa & Orlov, Alexei G., 2014. "The dynamics of exchange rate volatility: A panel VAR approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 1-27.
    4. O. P. C. Muhammed Rafi & M. Ramachandran, 2018. "Capital flows and exchange rate volatility: experience of emerging economies," Indian Economic Review, Springer, vol. 53(1), pages 183-205, December.
    5. Ashima Goyal & Akhilesh K. Verma, 2020. "Cross border flows, financial Intermediation and interactions of policy rules in a small open economy model," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2020-008, Indira Gandhi Institute of Development Research, Mumbai, India.
    6. Jalali-Naini, Ahmad Reza & Naderian, Mohammad Amin, 2020. "Financial vulnerability, fiscal procyclicality and inflation targeting in developing commodity exporting economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 84-97.
    7. Roberto Steiner & Adolfo Barajas & C�sar Pab�n & Leonardo Villar, 2014. "Singular Focus or Multiple Objectives? What the Data Tell Us about Inflation Targeting in Latin America," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Fall 2014), pages 177-213.
    8. Haryo Kuncoro, 2020. "Interest Rate Policy and Exchange Rates Volatility Lessons from Indonesia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 19-42.
    9. Horacio Aguirre & Gustavo Cañonero & Mario Torriani, 2019. "Foreign exchange intervention and reserve accumulation in an emerging market economy: selected issues," BIS Papers chapters, in: Bank for International Settlements (ed.), Reserve management and FX intervention, volume 104, pages 57-74, Bank for International Settlements.
    10. Christoph S. Weber, 2017. "The Effect of Central Bank Transparency on Exchange Rate Volatility," Working Papers 174, Bavarian Graduate Program in Economics (BGPE).
    11. Tshikalange, Mulanga & Bonga-Bonga, Lumengo, 2023. "The determinants of the dynamic correlation between foreign exchange and equity markets: Cross-Country comparisons," MPRA Paper 118401, University Library of Munich, Germany.
    12. Ahmed, Rashad & Aizenman, Joshua & Jinjarak, Yothin, 2021. "Inflation and Exchange Rate Targeting Challenges Under Fiscal Dominance," Journal of Macroeconomics, Elsevier, vol. 67(C).
    13. Anum Shafique & Mehmood Ul Hassan & Akmal Shahzad & Qazi Muhammad Ali & Muhammad Saqlain, 2022. "Exchange Rate Volatility And Its Relationship With Macroeconomic Variables In Pakistan," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 11(1), pages 121-131, March.
    14. Pablo Pincheira, 2013. "Interventions and inflation expectations in an inflation targeting economy," BIS Working Papers 427, Bank for International Settlements.
    15. Tule, Moses & Dogo, Mela & Uzonwanne, Godfrey, 2018. "Volatility of stock market returns and the naira exchange rate," Global Finance Journal, Elsevier, vol. 35(C), pages 97-105.
    16. Cabral,Rene & Carneiro,Francisco Galrao & Mollick,Andre Varella, 2016. "Inflation targeting and exchange rate volatility in emerging markets," Policy Research Working Paper Series 7712, The World Bank.
    17. Marc Pourroy, 2013. "Inflation-Targeting and Foreign Exchange Interventions in Emerging Economies," Documents de travail du Centre d'Economie de la Sorbonne 13074, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    18. Goyal, Ashima & Verma, Akhilesh K, 2023. "Cross border flows, financial intermediation and interactions of policy rules in a small open economy," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 369-393.
    19. Horacio Aguirre & Mauro Alessandro & Lucas Llach, 2016. "The transition to inflation targeting in an emerging economy: selected issues," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation mechanisms, expectations and monetary policy, volume 89, pages 69-83, Bank for International Settlements.
    20. Goran Petrevski, 2023. "Macroeconomic Effects of Inflation Targeting: A Survey of the Empirical Literature," Papers 2305.17474, arXiv.org.
    21. Mohamed Ali Chroufa & Nouri Chtourou, 2023. "Asymmetric relationship between exchange rate and inflation in Tunisia: fresh evidence from multiple-threshold NARDL model and Granger quantile causality," SN Business & Economics, Springer, vol. 3(7), pages 1-21, July.
    22. Rathin Roy & Raquel Almeida Ramos, 2012. "IMF Article IV Reports: An Analysis of Policy Recommendations," Working Papers 86, International Policy Centre for Inclusive Growth.
    23. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2013. "Inflation Targeting and Financial Stability: A Perspective from the Developing World," Working Papers Series 324, Central Bank of Brazil, Research Department.
    24. Runchana Pongsaparn & Panda Ketruangroch & Dhanaporn Hirunwong, 2012. "Monetary Policy conduct in Review: The Appropriate Choice of Instruments," Working Papers 2012-05, Monetary Policy Group, Bank of Thailand.
    25. Ouyang, Alice Y. & Rajan, Ramkishen S. & Li, Jie, 2016. "Exchange rate regimes and real exchange rate volatility: Does inflation targeting help or hurt?," Japan and the World Economy, Elsevier, vol. 39(C), pages 62-72.
    26. Vithessonthi, Chaiporn, 2014. "Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 170-194.
    27. Adolfo Barajas & Roberto Steiner & Leonardo Villar & C�sar Pab�n, 2014. "Inflation targeting in Latin America," Working Papers Series. Documentos de Trabajo 11550, Fedesarrollo.
    28. Broto, Carmen, 2013. "The effectiveness of forex interventions in four Latin American countries," Emerging Markets Review, Elsevier, vol. 17(C), pages 224-240.
    29. Ata Ozkaya & Omer Altun, 2024. "Domestic and Global Causes for Exchange Rate Volatility: Evidence From Turkey," SAGE Open, , vol. 14(2), pages 21582440241, April.
    30. Moura, Marcelo L. & Pereira, Fatima R. & Attuy, Guilherme de Moraes, 2013. "Currency Wars in Action: How Foreign Exchange Interventions Work in an Emerging Economy," Insper Working Papers wpe_304, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    31. N. Mirza & B. Naqvi & S.K.A. Rizvi & S. Boubaker, 2023. "Exchange Rate Pass-through and Inflation Targeting Regime under Energy Price Shocks," Post-Print hal-04435474, HAL.
    32. Mr. David J Hofman & Mr. Marcos d Chamon & Mr. Pragyan Deb & Mr. Thomas Harjes & Umang Rawat & Itaru Yamamoto, 2020. "Intervention Under Inflation Targeting--When Could It Make Sense?," IMF Working Papers 2020/009, International Monetary Fund.
    33. D. Ventosa-Santaul a & M. G -Zald & F. H. Wallace, 2015. "The real exchange rate, regime changes and volatility shifts," Applied Economics, Taylor & Francis Journals, vol. 47(24), pages 2445-2454, May.
    34. Eichler, Stefan & Littke, Helge C.N., 2018. "Central bank transparency and the volatility of exchange rates," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 23-49.
    35. Joshua Aizenman, 2019. "Macroeconomics Challenges and Resilience of Emerging Market Economies," NBER Working Papers 26361, National Bureau of Economic Research, Inc.
    36. Direye, Eli & Khemraj, Tarron, 2021. "Central bank securities and FX market intervention in a developing economy," MPRA Paper 111533, University Library of Munich, Germany, revised 09 Aug 2021.
    37. Sikarwar, Ekta, 2020. "Forex interventions and exchange rate exposure: Evidence from emerging market firms," Economic Modelling, Elsevier, vol. 93(C), pages 69-81.
    38. Vasco J. Gabriel & Paul Levine & Bo Yang, 2023. "Partial dollarization and financial frictions in emerging economies," Review of International Economics, Wiley Blackwell, vol. 31(2), pages 609-651, May.
    39. Catalán-Herrera, Juan, 2016. "Foreign exchange market interventions under inflation targeting: The case of Guatemala," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 101-114.
    40. Eichler, Stefan & Littke, Helge C. N., 2017. "Central bank transparency and the volatility of exchange rates," IWH Discussion Papers 22/2017, Halle Institute for Economic Research (IWH).
    41. Ogrokhina, Olena & Rodriguez, Cesar M., 2019. "The effect of inflation targeting and financial openness on currency composition of sovereign international debt," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 1-18.
    42. Grossmann, Axel & Orlov, Alexei G., 2022. "Exchange rate misalignments, capital flows and volatility," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    43. Gabriela Mundaca, 2018. "Central bank interventions in a dollarized economy: managed floating versus inflation targeting," Empirical Economics, Springer, vol. 55(4), pages 1507-1535, December.
    44. Ouyang, Alice Y. & Rajan, Ramkishen S., 2019. "The impact of financial development on the effectiveness of inflation targeting in developing economies," Japan and the World Economy, Elsevier, vol. 50(C), pages 25-35.
    45. Buffie, Edward F. & Airaudo, M. & Zanna, Felipe, 2018. "Inflation targeting and exchange rate management in less developed countries," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 159-184.
    46. Mr. Marco Airaudo & Mr. Edward F Buffie & Luis-Felipe Zanna, 2016. "Inflation Targeting and Exchange Rate Management In Less Developed Countries," IMF Working Papers 2016/055, International Monetary Fund.
    47. Bui Trung Thanh, 2024. "Foreign exchange interventions and monetary policy: evidence from emerging economies," Review of Economic Perspectives, Sciendo, vol. 24(2-3), pages 71-89.
    48. Haryo Kuncoro, 2025. "Exchange Rate Misalignment in the Inflation Targeting Regime. The Case of ASEAN-3," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 225-243, March.
    49. Borivoje D. Krušković, 2022. "Central Bank Intervention in the Inflation Targeting," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 11(1), pages 67-85.
    50. Eli Direye & Tarron Khemraj, 2022. "Central bank securities and foreign exchange market intervention in a developing economy," Review of Development Economics, Wiley Blackwell, vol. 26(1), pages 280-297, February.

  9. Carmen Broto & Javier Díaz-Cassou & Aitor Erce-Domínguez, 2008. "Measuring and explaining the volatility of capital flows towards emerging countries," Working Papers 0817, Banco de España.

    Cited by:

    1. Enrique Alberola & Aitor Erce & Jos� Maria Serena, 2014. "International Reserves and Gross Capital Flows Dynamics," Documentos de Discusión FLAR 11048, Fondo Latino Americano de Reservas - FLAR.
    2. Aitor Erce, 2012. "Does the IMF´s official support affect sovereign bond maturities?," Working Papers 1231, Banco de España.
    3. Toro-Córdoba, Jorge Hernán & Mora-Quiñones, Rocío & Parra-Amado, Daniel, 2013. "Flujos de capitales, la crisis financiera internacional y los desbalances macroeconómicos," Chapters, in: Rincón-Castro, Hernán & Velasco, Andrés M. (ed.), Flujos de capitales, choques externos y respuestas de política en países emergentes, chapter 1, pages 1-51, Banco de la Republica de Colombia.
    4. Enrique Alberola & Aitor Erce & José Maria Serena, 2012. "International reserves and gross capital flows: dynamics during financial stress," Globalization Institute Working Papers 110, Federal Reserve Bank of Dallas.
    5. Doojav, Gan-Ochir & Gotovsuren, Borkhuu & Dorjpurev, Tsenddorj, 2012. "Financial Contagion and Volatile Capital Flows," MPRA Paper 110015, University Library of Munich, Germany.
    6. Aitor Erce & Daniel Riera-Crichton, 2015. "Catalytic IMF? a gross flows approach," Globalization Institute Working Papers 254, Federal Reserve Bank of Dallas.
    7. Aitor Erce, 2012. "Does the IMF's official support affect sovereign bonds maturities?," Globalization Institute Working Papers 128, Federal Reserve Bank of Dallas.
    8. Samira Hellou & Michel Boutillier, 2017. "The impact of regulatory requirements on the banking flows to emerging countries," EconomiX Working Papers 2017-9, University of Paris Nanterre, EconomiX.
    9. Paramita Mukherjee, 2011. "An exploration on volatility across India and some developed and emerging equity markets," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), vol. 18(2), pages 79-103, December.
    10. Bank for International Settlements, 2009. "Capital flows and emerging market economies," CGFS Papers, Bank for International Settlements, number 33.

  10. Carmen Broto, 2008. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Working Papers 0826, Banco de España.

    Cited by:

    1. Diego Ferreira & Andreza Aparecida Palma, 2018. "Inflation And Inflation Uncertainty In Latin America: A Time-Varying Stochastic Volatility In Mean Approach," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    2. Chen, Li-Ju & Hu, Shih-Wen & Wang, Vey & Wen, Jiandong & Ye, Chusheng, 2014. "The effects of purchasing and price subsidy policies for agricultural products under target zones," Economic Modelling, Elsevier, vol. 43(C), pages 439-447.
    3. Haryo Kuncoro, 2024. "Inflation and Its Uncertainty: Evidence from Indonesia and the Philippines," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 16(2), pages 231-247, May.
    4. Luis Ceballos & Damián Romero, 2014. "Risk Matters: The Impact of Nominal Uncertainty in Chile," Working Papers Central Bank of Chile 741, Central Bank of Chile.
    5. Carlos Carrasco & Jesus Ferreiro, 2013. "Inflation targeting in Mexico," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 35(3), pages 341-372.
    6. Giannellis, Nikolaos & Koukouritakis, Minoas, 2013. "Exchange rate misalignment and inflation rate persistence: Evidence from Latin American countries," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 202-218.
    7. Eduardo Rosas Rojas & M�nica C. Mimbrera Delgado, 2018. "Inflación y volatilidad cambiaria en México (1969-2017)," Ensayos de Economía 17297, Universidad Nacional de Colombia Sede Medellín.
    8. José De Gregorio, 2009. "Implementation of Inflation Targets in Emerging Markets," Chapters, in: Gill Hammond & Ravi Kanbur & Eswar Prasad (ed.), Monetary Policy Frameworks for Emerging Markets, chapter 3, Edward Elgar Publishing.
    9. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2013. "Inflation Targeting and Financial Stability: A Perspective from the Developing World," Working Papers Series 324, Central Bank of Brazil, Research Department.
    10. Adel Boughrara and Ichrak Dridi, 2017. "Does Inflation Targeting Matter for Foreign Portfolio Investment: Evidence from Propensity Score Matching," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 42(2), pages 67-86, June.
    11. Marco Airaudo, 2012. "Endogenous Dollarization, Sovereign Risk Premia and the Taylor Principle," School of Economics Working Paper Series 2012-11, LeBow College of Business, Drexel University.
    12. Pérez, Fernando, 2015. "Comparing the Transmission of Monetary Policy Shocks in Latin America: A Hierarchical Panel VAR," Working Papers 2015-015, Banco Central de Reserva del Perú.
    13. C. Richard Higgins & Irfan A. Qureshi, 2025. "Changes in central bank leadership and inflation dynamics," Southern Economic Journal, John Wiley & Sons, vol. 91(4), pages 1440-1473, April.
    14. Bareith, Tibor & Varga, József, 2022. "Az inflációs célt követő rendszer hozzájárulása az infláció mérsékléséhez Magyarországon [The contribution of the inflation targeting system to reducing inflation in Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 989-1008.
    15. Armand Fouejieu,, 2017. "Inflation targeting and financial stability in emerging markets," Economic Modelling, Elsevier, vol. 60(C), pages 51-70.
    16. Jorge Katz & Gonzalo Bernat, 2013. "Macroeconomic Adjustment and Structural Change: The Experience of Argentina, Brazil and Chile in 2000-2010," Institutions and Economies (formerly known as International Journal of Institutions and Economies), Faculty of Economics and Administration, University of Malaya, vol. 5(2), pages 37-58, July.
    17. Harold Glenn A. Valera & Mark J. Holmes & Gazi M. Hassan, 2018. "Is inflation targeting credible in Asia? A panel GARCH approach," Empirical Economics, Springer, vol. 54(2), pages 523-546, March.
    18. Tariq A.H. Al-Zuhd & Mohammad H. Saleh, 2017. "Inflation and Inflation Uncertainty Nexus in Kuwait: A GARCH Modeling Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 198-203.
    19. Chaouech, Olfa, 2012. "La politique de ciblage d'inflation: fondements théoriques et validation empirique [The inflation targeting policy: theoretical and empirical validation]," MPRA Paper 60760, University Library of Munich, Germany, revised 19 Dec 2014.
    20. Gabriel Rodríguez & Luis Surco, 2024. "Modeling the trend, persistence, and volatility of inflation in Pacific Alliance countries: an empirical application using a model with inflation bands," Documentos de Trabajo / Working Papers 2024-533, Departamento de Economía - Pontificia Universidad Católica del Perú.

  11. Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Working Papers 0812, Banco de España.

    Cited by:

    1. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
    2. Broto, Carmen, 2011. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1424-1434, May.
    3. Raïssi, Hamdi, 2018. "Testing normality for unconditionally heteroscedastic macroeconomic variables," Economic Modelling, Elsevier, vol. 70(C), pages 140-146.
    4. Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2011. "Prediction intervals in conditionally heteroscedastic time series with stochastic components," International Journal of Forecasting, Elsevier, vol. 27(2), pages 308-319, April.
    5. Rodríguez, Alejandro & Ruiz Ortega, Esther, 2010. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," DES - Working Papers. Statistics and Econometrics. WS ws100301, Universidad Carlos III de Madrid. Departamento de Estadística.

  12. Paloma Acevedo & Enrique Alberola & Carmen Broto, 2007. "Local debt expansion... vulnerability reduction? An assessment for six crises-prone countries," Working Papers 0733, Banco de España.

    Cited by:

    1. Bank for International Settlements, 2007. "Financial stability and local currency bond markets," CGFS Papers, Bank for International Settlements, number 28.
    2. Isabel Argimón & Pablo Hernández de Cos, 2008. "The determinants of budget balances of the regional (Autonomous) governments," Working Papers 0803, Banco de España.
    3. Aitor Erce, 2008. "A structural model of sovereign debt issuance: assessing the role of financial factors," Working Papers 0809, Banco de España.
    4. Daniel, L., 2008. "Foreign investors’ participation in emerging market economies’ domestic bond markets," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 12, pages 61-77, Summer.

  13. Broto, Carmen & Ruiz Ortega, Esther, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de Estadística.

    Cited by:

    1. Rodríguez, Alejandro & Ruiz Ortega, Esther, 2008. "Bootstrap prediction intervals in State Space models," DES - Working Papers. Statistics and Econometrics. WS ws081104, Universidad Carlos III de Madrid. Departamento de Estadística.

  14. Broto, Carmen & Ruiz Ortega, Esther, 2003. "Unobserved component models with asymmetric conditional variances," DES - Working Papers. Statistics and Econometrics. WS ws032003, Universidad Carlos III de Madrid. Departamento de Estadística.

    Cited by:

    1. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2008. "Volatility forecasting using threshold heteroskedastic models of the intra-day range," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2990-3010, February.
    2. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008. "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series 2008/07, Center for Financial Studies (CFS).
    3. Broto, Carmen, 2011. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1424-1434, May.
    4. Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper series 40_07, Rimini Centre for Economic Analysis.
    5. Charles S. Bos & Siem Jan Koopman, 2010. "Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production," Tinbergen Institute Discussion Papers 10-017/4, Tinbergen Institute.
    6. Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2010. "Conditionally heteroscedastic unobserved component models and their reduced form," Economics Letters, Elsevier, vol. 107(2), pages 88-90, May.
    7. Broto Carmen & Ruiz Esther, 2009. "Testing for Conditional Heteroscedasticity in the Components of Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-30, May.
    8. Ane, Thierry, 2006. "An analysis of the flexibility of Asymmetric Power GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1293-1311, November.

  15. Broto, Carmen & Ruiz Ortega, Esther, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de Estadística.

    Cited by:

    1. Didit Budi Nugroho & Takayuki Morimoto, 2019. "Incorporating Realized Quarticity into a Realized Stochastic Volatility Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 495-528, December.
    2. Petra Fleischer & Ross Maller & Gernot Müller, 2011. "A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(2), pages 123-148, April.
    3. Takada, Teruko, 2009. "Simulated minimum Hellinger distance estimation of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2390-2403, April.
    4. Ahsan, Md. Nazmul & Dufour, Jean-Marie, 2021. "Simple estimators and inference for higher-order stochastic volatility models," Journal of Econometrics, Elsevier, vol. 224(1), pages 181-197.
    5. Dominik Bertsche & Robin Braun, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2018-03, Department of Economics, University of Konstanz.
    6. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, September.
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    See citations under working paper version above.
  2. Broto, Carmen & Lamas, Matías, 2020. "Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries," Economic Modelling, Elsevier, vol. 93(C), pages 217-229.
    See citations under working paper version above.
  3. Broto, Carmen & Molina, Luis, 2016. "Sovereign ratings and their asymmetric response to fundamentals," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 206-224.
    See citations under working paper version above.
  4. Broto, Carmen & Pérez-Quirós, Gabriel, 2015. "Disentangling contagion among sovereign CDS spreads during the European debt crisis," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 165-179.
    See citations under working paper version above.
  5. Broto, Carmen, 2013. "The effectiveness of forex interventions in four Latin American countries," Emerging Markets Review, Elsevier, vol. 17(C), pages 224-240.
    See citations under working paper version above.
  6. Berganza, Juan Carlos & Broto, Carmen, 2012. "Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 428-444.
    See citations under working paper version above.
  7. Broto, Carmen & Díaz-Cassou, Javier & Erce, Aitor, 2011. "Measuring and explaining the volatility of capital flows to emerging countries," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1941-1953, August.

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    2. Rogelio Mercado Jr., 2018. "Bilateral Capital Flows: Gravity, Push, and Pull," Trinity Economics Papers tep0818, Trinity College Dublin, Department of Economics.
    3. Wu, Manhwa & Huang, Paoyu & Ni, Yensen, 2017. "Capital liberalization and various financial markets: Evidence from Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 265-274.
    4. Hyun-Hoon Lee & Cyn-Young Park & Hyung-suk Byun, 2012. "Do Contagion Effects Exist in Capital Flow Volatility?," ADB Economics Working Paper Series 302, Asian Development Bank.
    5. Shiyi Wang, 2019. "Capital Flow Volatility: The Effects of Financial Development and Global Financial Conditions," 2019 Papers pwa945, Job Market Papers.
    6. Opperman, Pieter & Adjasi, Charles Komla Delali, 2019. "Remittance volatility and financial sector development in sub-Saharan African countries," Journal of Policy Modeling, Elsevier, vol. 41(2), pages 336-351.
    7. Gabriela Contreras & Francisco Pinto, 2014. "Vulnerability to Changes in External Financing Due to Global Factors," Working Papers Central Bank of Chile 734, Central Bank of Chile.
    8. Yang, Haizhen & Shi, Fangfang & Wang, Jie & Jing, Zhongbo, 2019. "Investigating the relationship between financial liberalization and capital flow waves: A panel data analysis," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 120-136.
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    10. Perera, Anil & Wickramanayake, J., 2016. "Determinants of commercial bank retail interest rate adjustments: Evidence from a panel data model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 1-20.
    11. Jie Li & Alice Y. Ouyang, 2018. "Stock and Labor Market Synchronization and Income Inequality: Evidence from OECD Countries," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 9(01n02), pages 1-20, February.
    12. Chen, Louisa & Liu, Estelle Xue & Liu, Zijun, 2024. "FX resilience around the world: Fighting volatile cross-border capital flows," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    13. Maria Sole Pagliari & Mrs. Swarnali A Hannan, 2017. "The Volatility of Capital Flows in Emerging Markets: Measures and Determinants," IMF Working Papers 2017/041, International Monetary Fund.
    14. Marcel Förster & Markus Jorra & Peter Tillmann, 2012. "The Dynamics of International Capital Flows: Results from a Dynamic Hierarchical Factor Model," MAGKS Papers on Economics 201221, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    15. Steven Liao & Daniel McDowell, 2022. "Closing time: Reputational constraints on capital account policy in emerging markets," The Review of International Organizations, Springer, vol. 17(3), pages 543-568, July.
    16. Wang, Xichen & Yan, Ji (Karena) & Yan, Cheng & Gozgor, Giray, 2021. "Emerging stock market exuberance and international short-term flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    17. Joscha Beckmann & Robert Czudaj, 2017. "Capital Flows and GDP in Emerging Economies and the Role of Global Spillovers," Chemnitz Economic Papers 009, Department of Economics, Chemnitz University of Technology, revised Jun 2017.
    18. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2012. "Macroeconomic Stability, Financial Stability, and Monetary Policy Rules," International Finance, Wiley Blackwell, vol. 15(2), pages 205-224, June.
    19. Leilane de Freitas Rocha Cambara & Roberto Meurer, 2023. "News sentiment and foreign portfolio investment in Brazil," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3332-3348, July.
    20. Axel Löffler & Gunther Schnabl & Franziska Schobert, 2013. "Limits of Monetary Policy Autonomy and Exchange Rate Flexibility by East Asian Central Banks," Global Financial Markets Working Paper Series 48-2013, Friedrich-Schiller-University Jena.
    21. Bruno Emmanuel Ongo Nkoa & Jacques Simon Song, 2017. "Analyse des effets de la qualité des institutions sur la volatilité des Investissements Directs Etrangers en Afrique," African Development Review, African Development Bank, vol. 29(4), pages 674-688, December.
    22. Wang, Xichen & Duan, Xiaomei, 2024. "What leads some countries to experience larger decreases in foreign flows during low-flow episodes? Evidence from international portfolio flows," Journal of International Money and Finance, Elsevier, vol. 148(C).
    23. Saif Al-Abri, Almukhtar, 2014. "How does terms-of-trade behavior shape international financial integration in primary-commodity exporting economies?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 335-353.
    24. Grzegorz Tchorek & Michał Brzozowski & Paweł Śliwiński, 2017. "Determinants of capital flows to emerging and advanced economies between 1990 and 2011," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(1), pages 17-48, April.
    25. Athanasios Tsagkanos & Konstantinos Gkillas & Christoforos Konstantatos & Christos Floros, 2021. "Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System," IJFS, MDPI, vol. 9(2), pages 1-13, April.
    26. Margit Molnar & Yusuke Tateno & Amornrut Supornsinchai, 2013. "Capital Flows in Asia-Pacific: Controls, Bonanzas and Sudden Stops," OECD Development Centre Working Papers 320, OECD Publishing.
    27. Lim, Jamus Jerome & Mohapatra, Sanket, 2016. "Quantitative easing and the post-crisis surge in financial flows to developing countries," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 331-357.
    28. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2013. "Inflation Targeting and Financial Stability: A Perspective from the Developing World," Working Papers Series 324, Central Bank of Brazil, Research Department.
    29. Xichen Wang & Cheng Yan, 2022. "Does the Relative Importance of the Push and Pull Factors of Foreign Capital Flows Vary Across Quantiles?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(2), pages 252-299, June.
    30. Chokri Zehri, 2022. "Interaction Effect of Capital Controls and Macroeconomic Policies," Economic Papers, The Economic Society of Australia, vol. 41(1), pages 15-33, March.
    31. Cavoli, Tony, 2014. "Substitutes or complements? The interactions between components of capital inflows for Asia," Journal of Asian Economics, Elsevier, vol. 31, pages 32-41.
    32. Markus Eller & Florian Huber & Helene Schuberth, 2018. "How Important are Global Factors for Understanding the Dynamics of International Capital Flows?," Working Papers in Economics 2018-2, University of Salzburg.
    33. Gkillas (Gillas), Konstantinos & Tsagkanos, Athanasios & Siriopoulos, Costas, 2016. "The risk in capital controls," Finance Research Letters, Elsevier, vol. 19(C), pages 261-266.
    34. Li, Jie & Rajan, Ramkishen S., 2015. "Do capital controls make gross equity flows to emerging markets less volatile?," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 220-244.
    35. Martijn J. Burger & Elena I. Ianchovichina, 2017. "Surges and stops in greenfield and M&A FDI flows to developing countries: analysis by mode of entry," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(2), pages 411-432, May.
    36. Yu, Xiaojian & Li, Zhiyong & Lien, Donald & Hu, Jinqiang, 2024. "Identifying crucial financial markets in the flows of cross-border capital – evidence from China's financial risk network," International Review of Economics & Finance, Elsevier, vol. 96(PB).
    37. Kazeem Abimbola Sanusi & Forget Mingiri Kapingura, 2022. "Drivers of capital inflow: Does global uncertainty matter?," Cogent Business & Management, Taylor & Francis Journals, vol. 9(1), pages 2124596-212, December.
    38. Samitas, Aristeidis & Polyzos, Stathis, 2016. "Freeing Greece from capital controls: Were the restrictions enforced in time?," Research in International Business and Finance, Elsevier, vol. 37(C), pages 196-213.
    39. Ben Salha, Ousama, 2013. "Does economic globalization affect the level and volatility of labor demand by skill? New insights from the Tunisian manufacturing industries," Economic Systems, Elsevier, vol. 37(4), pages 572-597.
    40. Keilla Dayane Silva-Oliveira & Edson Keyso Miranda Kubo & Michael J. Morley & Rodrigo Médici Cândido, 2021. "Emerging Economy Inward and Outward Foreign Direct Investment: A Bibliometric and Thematic Content Analysis," Management International Review, Springer, vol. 61(5), pages 643-679, October.
    41. Cheuathonghua, Massaporn & de Boyrie, Maria E. & Pavlova, Ivelina & Wongkantarakorn, Jutamas, 2022. "Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    42. Piotr Adamczyk, 2022. "Does the Volatility of Oil Price Affect the Structure of Employment? The Role of Exchange Rate Regime and Energy Import Dependency," Energies, MDPI, vol. 15(19), pages 1-10, September.
    43. Ftiti, Zied & Ben Ameur, Hachmi & Louhichi, Wael & Anastasiou, Dimitris & Awijen, Haithem, 2024. "Revisiting capital flow drivers: Regional dynamics, constraints, and geopolitical influences," Journal of International Money and Finance, Elsevier, vol. 142(C).
    44. Ferry Syarifuddin, 2020. "The Dynamics Of Foreign Portfolio Investment And Exchange Rate: An Interconnection Approach In Asean," Working Papers WP/08/2020, Bank Indonesia.
    45. Attila, Joseph G., 2022. "Does bank deposits volatility react to political instability in developing countries?," Finance Research Letters, Elsevier, vol. 49(C).
    46. Opperman, Pieter & Adjasi, Charles Komla Delali, 2017. "The determinants of private capital flow volatility in Sub-Saharan African countries," Research in International Business and Finance, Elsevier, vol. 42(C), pages 312-320.
    47. Ahmet Ihsan Kaya & Lutfi Erden, 2023. "Capital‐flow volatility in emerging markets: A panel GARCH approach," International Finance, Wiley Blackwell, vol. 26(2), pages 172-188, August.
    48. Ines Buono & Flavia Corneli & Enrica Di Stefano, 2020. "Capital inflows to emerging countries and their sensitivity to the global financial cycle," Temi di discussione (Economic working papers) 1262, Bank of Italy, Economic Research and International Relations Area.
    49. Grzegorz Tchorek, 2016. "Foreign Direct Investment and Investment Development Path. The Case of Visegrad Countries (Bezposrednie Inwestycje Zagraniczne a Inwestycyjna Sciezka Rozwoju. Przypadek krajow grupy Wyszehradzkiej)," Research Reports, University of Warsaw, Faculty of Management, vol. 2(22), pages 201-212.
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  8. Carmen Broto & Gabriel Pérez-Quirós, 2011. "Sovereign CDS premia during the crisis and their interpretation as a measure of risk," Economic Bulletin, Banco de España, issue APR, pages 133-142, April.

    Cited by:

    1. Zalán Kocsis & Dénes Nagy, 2011. "Variance decomposition of sovereign CDS spreads," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 6(3), pages 36-50, October.
    2. Claeys, Peter & Vašíček, Bořek, 2014. "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Working Paper Series 1666, European Central Bank.
    3. Paniagua, Jordi & Sapena, Juan & Tamarit, Cecilio, 2017. "Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust," Journal of Financial Stability, Elsevier, vol. 33(C), pages 187-206.
    4. Téllez Valle, Cecilia & Martín García, Margarita & Ramón-Jerónimo, María A. & Martín Marín, José Luis, 2020. "Sovereign bond spreads and CDS premia in the Eurozone: A causality analysis || Diferenciales de bonos soberanos y primas de CDS en la zona euro: un análisis de causalidad," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 30(1), pages 58-78, December.

  9. Broto, Carmen, 2011. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1424-1434, May.
    See citations under working paper version above.
  10. Broto Carmen & Ruiz Esther, 2009. "Testing for Conditional Heteroscedasticity in the Components of Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-30, May.
    See citations under working paper version above.
  11. Carmen Broto & Javier Díaz-Cassou & Aitor Erce-Domínguez, 2008. "The Sources of Capital Flows Volatility: Empirical Evidence for Emerging Countries," Money Affairs, CEMLA, vol. 0(1), pages 93-128, January-J.

    Cited by:

    1. Dong He & Lillian Cheung & Wenlang Zhang & Tommy Wu, 2012. "How would Capital Account Liberalisation Affect China's Capital Flows and the Renminbi Real Exchange Rates?," Working Papers 092012, Hong Kong Institute for Monetary Research.
    2. Carmen Broto & Javier Díaz-Cassou & Aitor Erce-Domínguez, 2008. "Measuring and explaining the volatility of capital flows towards emerging countries," Working Papers 0817, Banco de España.
    3. Rogelio Mercado & Cyn-Young Park, 2011. "What Drives Different Types of Capital Flows and Their Volatilities in Developing Asia?," Working Papers on Regional Economic Integration 84, Asian Development Bank.
    4. Yu, Xiaojian & Li, Zhiyong & Lien, Donald & Hu, Jinqiang, 2024. "Identifying crucial financial markets in the flows of cross-border capital – evidence from China's financial risk network," International Review of Economics & Finance, Elsevier, vol. 96(PB).
    5. Melis, Michael & Bonga-Bonga, Lumengo, 2019. "Determinants of global capital volatility in the BRICS grouping," MPRA Paper 94125, University Library of Munich, Germany.

  12. Broto, Carmen & Ruiz, Esther, 2006. "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
    See citations under working paper version above.
  13. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
    See citations under working paper version above.

Chapters

  1. Paloma Acevedo & Enrique Alberola & Carmen Broto, 2008. "Local debt expansion and vulnerability reduction: an assessment for six crisis-prone countries," BIS Papers chapters, in: Bank for International Settlements (ed.), New financing trends in Latin America: a bumpy road towards stability, volume 36, pages 88-109, Bank for International Settlements.

    Cited by:

    1. Camilo E Tovar & Myriam Quispe-Agnoli, 2008. "New financing trends in Latin America," BIS Papers chapters, in: Bank for International Settlements (ed.), New financing trends in Latin America: a bumpy road towards stability, volume 36, pages 1-14, Bank for International Settlements.
    2. Anne-Charlotte Paret, 2017. "Debt sustainability in emerging market countries: Some policy guidelines from a fan-chart approach," Post-Print hal-01590005, HAL.
    3. Myriam Quispe-Agnoli & Camilo E. Tovar, 2008. "New financing trends in Latin America : an overview of selected issues and policy challenges," Economic Review, Federal Reserve Bank of Atlanta, vol. 93(3).

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