Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286567 
Year of Publication: 
2022
Citation: 
[Journal:] SERIEs - Journal of the Spanish Economic Association [ISSN:] 1869-4195 [Volume:] 13 [Issue:] 4 [Year:] 2022 [Pages:] 663-708
Publisher: 
Springer, Heidelberg
Abstract: 
Macro-finance asset pricing models provide a rationale for connectedness dynamics between equity and Treasury risk-neutral volatilities. In this paper, we study the total and directional connectedness, in the sense of spillover effects, between risk-neutral volatilities from the equity and Treasury markets. In addition, we analyze the economic and monetary drivers of connectedness dynamics. Most of the time, but especially during bad economic times, we find significant net spillovers from Treasury to equity risk-neutral volatility. The spillover channel between risk-neutral volatilities arises mainly through the government fixed income market.
Subjects: 
Directional connectedness
Real and monetary economic drivers
Risk-neutral equity volatility
Risk-neutral Treasury volatility
Total connectedness
JEL: 
C32
E32
G12
G13
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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