IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-03680576.html
   My bibliography  Save this paper

Modeling Transmissions of Volatility Shocks: Application to CDS Spreads during the Euro Area Sovereign Crisis

Author

Listed:
  • Makram Bellalah

    (CRIISEA - Centre de Recherche sur les Institutions, l'Industrie et les Systèmes Économiques d'Amiens - UR UPJV 3908 - UPJV - Université de Picardie Jules Verne)

  • H. Boussada

Abstract

This paper tests empirically the contagion and the transmission mechanism of shocks in volatility between the peripheral Eurozone countries. We use the sovereign CDS spreads and the asymmetric model of dynamic conditional correlation GARCH DCC. We investigate the effects of positive and negative shocks over the long term. We investigate the systemic nature of the crisis in Europe. We implement testing of the non-linearity of propagation mechanisms of shocks through a long-term interdependence VECM model (Johansen co-integration). The generated results show that changes in the index of sovereign CDS have a very significant effect on changes in stock indexes in Europe. This is especially true in the case of Germany and France and the PIIGS countries.

Suggested Citation

  • Makram Bellalah & H. Boussada, 2016. "Modeling Transmissions of Volatility Shocks: Application to CDS Spreads during the Euro Area Sovereign Crisis," Post-Print hal-03680576, HAL.
    • Handle: RePEc:hal:journl:hal-03680576
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ramiz ur Rehman & Muhammad Zain ul Abidin & Rizwan Ali & Safwan Mohd Nor & Muhammad Akram Naseem & Mudassar Hasan & Muhammad Ishfaq Ahmad, 2021. "The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies," Sustainability, MDPI, vol. 13(2), pages 1-27, January.
    2. Mansi Jain & Gagan Deep Sharma & Mrinalini Srivastava, 2019. "Can Sustainable Investment Yield Better Financial Returns: A Comparative Study of ESG Indices and MSCI Indices," Risks, MDPI, vol. 7(1), pages 1-18, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-03680576. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.