Sökning: "Nerea Landa Vallejo"

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  1. 1. Volatility and Contagion Effect from US and GIIPS to the Largest European Economies

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Nerea Landa Vallejo; [2016]
    Nyckelord :contagion; GIIPS; subprime; eurozone; spillover; Business and Economics;

    Sammanfattning : This research paper explores the nature of the mean and volatility spillovers from the US and aggregate GIIPS to the largest GDP countries for the EMU and non-EMU countries. I develop a three step univariate volatility spillover model followed by Christiansen (2007) and Ng (2000) to analyze the relevance of local (own country), regional (aggregate GIIPS) and global (US) shocks. LÄS MER