Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre

Good and bad volatility spillovers: An asymmetric connectedness

Dynamic volatility spillovers and investment strategies between the Chinese stock market and commodity markets

COVID-19 and asymmetric volatility spillovers across global stock markets

A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries

Stock market volatility spillovers: Evidence for Latin America

In this study we construct volatility spillover indexes for some of the major stock market indexes in the world. We use a DCC-GARCH framework for modeling the multivariate relationships of volatility among markets. Extending the framework of Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) we compute spillover indexes directly from the series of returns considering the time-variant structure of their covariance matrices. Our spillover indexes use daily stock market data of Australia, Canada, China, Germany, Japan, the UK, and the USA, for the period April 1996–June 2017. We obtain several relevant results. First, total spillovers exhibit substantial time series variation, being higher in moments of market turbulence. Second, the net position of each country (transmitter or receiver) does not change during the sample period. However, their intensities exhibit important time variation. Finally, transmission originates in the most developed markets, as expected. Of special relevance, even though the Chinese stock market has grown importantly over time, it is still a net receiver of volatility spillovers. However, the magnitude of net volatility reception has decreased over the last few years.

Volatility spillovers among global stock markets: measuring total and directional effects

En este articulo se propone una extension de la metodologia multivariada de desagregacion temporal de Di Fonzo [1990]. Esta supone que los errores de las series de alta frecuencia siguen un modelo VAR(1) en lugar de un proceso ruido blanco. Adicionalmente, se realiza una resena de diferentes metodos de desagregacion, tanto univariados como multivariados, incluyendo sus principales ventajas y desventajas. Finalmente, se lleva a cabo una aplicacion multivariada para obtener las cuentas nacionales colombianas mensuales a partir de datos trimestrales.

Una metodología multivariada de desagregación temporal

This paper has as main objective to build a composite metric of financial soundness for the private corporate sector in Colombia. Instead of relying on the individual and sometimes restrictive financial ratio analysis approach, the purpose of this document is to provide a single metric aimed at measuring the financial health of firms. Said metric, the financial soundness index, is derived by employing the cross-section approach of principal component analysis. For the time period of 2000-2013, the results allow to identify which industries have a weak, strong or similar balance sheet performance relative to that observed for the private corporate sector as a whole. Furthermore for firms that are debtors of the Colombian financial system, validation tests on the index confirm the apparent relationship between accounting data and the credit risk perception of and materialization for financial intermediaries.

Financial soundness index for the private corporate sector in Colombia

The most recent global financial crisis (2008-2009) highlighted the importance of systemic risk and promoted academic interest to develop a wide set of warning indicators, which are mechanisms to identify systemically important institutions and global systemic risk indexes. Using the methodology proposed by Hollo et al. (2012), along with some considerations from Hakkio & Keeton (2009), this document comprises a Composite Indicator of Systemic Stress (CISS) for Colombia. The index takes into account several dimensions related to financial markets (credit institutions, housing market, external sector, money market and local bond market) and is constructed using portfolio theory, considering the contagion among dimensions. Results suggest the peak of the global financial crisis (September 2008) as the most important episode of systemic risk in Colombia between 2000-2014. Additionally, real activity seems to be adversely affected by an unexpected increase of the systemic risk index.

https://www.banrep.gov.co/sites/default/files/publicaciones/archivos/be_826.pdf

Jorge Luis Hurtado-Guarín

Papers

Stock market volatility spillovers: Evidence for Latin America

Volatility spillovers among global stock markets: measuring total and directional effects

Una metodología multivariada de desagregación temporal

Financial soundness index for the private corporate sector in Colombia

A Composite Indicator of Systemic Stress (CISS) for Colombia