Publication
Stock and sovereign returns linkages: time-varying causality and extreme-quantile determinants
| dc.contributor.author | Afonso, António | |
| dc.contributor.author | Alves, José | |
| dc.contributor.author | Grabowski, Wojciech | |
| dc.contributor.author | Monteiro, Sofia | |
| dc.date.accessioned | 2025-02-18T12:07:00Z | |
| dc.date.available | 2025-02-18T12:07:00Z | |
| dc.date.issued | 2025 | |
| dc.description.abstract | We employ a cross-quantilogram approach to assess relationships between quantiles of stock returns and sovereign yields, in the U.S. and Germany, in the period 1990-2024. Specifically, we focus on the lowest 5% quantile of stock returns and the highest 5% quantile of bond returns, providing insights into tail dependencies, crucial during market downturns and periods of heightened volatility. We also measure causality in volatilities extending well-known approaches analyzing volatility transmission. We find significant cross-market relationships between U.S. and German stock and bond markets, influenced by economic crises, macroeconomic dynamics, and monetary policy interventions, and financial stress play a crucial role. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Afonso, António, José Alves, Wojciech Grabowski e Sofia Monteiro (2025). "Stock and sovereign returns linkages: time-varying causality and extreme-quantile determinants". REM Working paper series, nº 0366/2025 | pt_PT |
| dc.identifier.issn | 2184-108x | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/98513 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | ISEG - REM (Research in Economics and Mathematics) | pt_PT |
| dc.relation.ispartofseries | REM Working paper series;0366/2025 | |
| dc.subject | Stock returns | pt_PT |
| dc.subject | Sovereign bond returns | pt_PT |
| dc.subject | Stock-bond relationship | pt_PT |
| dc.subject | Crossquantilogram | pt_PT |
| dc.subject | Volatility transmission | pt_PT |
| dc.subject | US | pt_PT |
| dc.subject | Germany | pt_PT |
| dc.subject | Monetary policy | pt_PT |
| dc.subject | Shocks | pt_PT |
| dc.subject | Fiscal stance | pt_PT |
| dc.title | Stock and sovereign returns linkages: time-varying causality and extreme-quantile determinants | pt_PT |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | workingPaper | pt_PT |