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Are Banking Shocks Contagious? Evidence from the Eurozone
(2016)
[Abstract] We test for contagion between banking stocks – global and domestic – and the domestic nonfinancial
sector for eleven Eurozone countries. Using a Markov-switching Factor augmented
VAR (MS-FAVAR) model, we assess ...
Do long-term bonds hedge equity risk? Evidence from Spain
(2016-02)
[Abstract:] We analyze the relationship between returns on equity and long-term government bonds in
the Spanish economy. In particular, we are interested in the stability of the relationship across
differing market ...