BUSCADOR RECOLECTA

Following the recent literature on intermediary asset pricing models, this paper argues that the marginal utility of wealth of financial intermediaries can be used to generate enough volatility and counter-cyclicality on the recursive preference-based stochastic discount factor. Hence, a dynamic econometric strategy of an asset pricing model with the market portfolio return and the leverage growth of financial intermediaries allows for a sensible economic estimate of the elasticity of intertemporal substitution. On the contrary, the same framework with alternative measures of consumption produces extremely poor economic results., The authors acknowledge financial support from the Ministry of Economics and Competitiveness through Grant ECO2015-67035-P.In addition, Gonzalo Rubio acknowledges financial support from Generalitat Valenciana Grant PROMETEOII/2013/015 and from the Bank of Spain, and Ana González-Urteaga acknowledges financial support from the Ministry of Economics and Competitiveness through Grant ECO2016-77631-R (AEI/FEDER,UE).

This article systematically reviews the academic literature on emerging market contagion in order to summarize what we have learnt about the transmission channels existing in these countries. Given the large body of academic research focused on this topic, we especially direct our attention to the strand of the literature that defines and empirically analyses this topic as the significant increase in the cross-market correlations between asset returns during crisis periods or when a shock occurs. The survey covers the findings on financial contagion in the stock, bond, exchange and credit default swap markets during a large period that covers several crises that have characterized the related literature, such as the currency crises of the 1990s, the global financial crisis and the Eurozone debt crisis. Finally, new topics are identified, serving as an outline for future research., A. González-Urteaga acknowledges financial support from ECO2015-67035-P and ECO2016-77631-R (AEI/FEDER.UE)

This paper employs equity (VIX) and Treasury (MOVE) risk‐neutral volatilities to assess their relative forecasting performance with respect to future real activity, stock and Treasury excess returns, and aggregate risk factors. The in‐sample evidence suggests that the square of VIX tends to dominate the square of MOVE. Out‐of‐sample predictive analysis, performed as a horse race between equity and Treasury risk‐neutral volatilities, shows that, contrary to earlier results, the square of VIX and MOVE tend to complement each other., Generalitat Valenciana, Grant/Award Number: Prometeo/2017/158; UPNA Research Grant for Young Researchers, Edition 2018, Grant/Award Number: UPNA 2018; Bank of Spain, Grant/Award Number: 2016‐18; Ministry of Economics and Competitiveness, Grant/Award Numbers: ECO2015‐67035‐P and ECO2016‐77631‐R.

We document the cross-border spillover impact of S&P sovereign credit rating events on sovereign CDS using an extensive sample of emerging economies. First, we find on average a competition (imitation) effect of downgrades (upgrades) among emerging portfolios. Results confirms that non-event portfolios responds positively to credit deteriorations in terms of an improvement in sovereign credit risk. Second, the sovereign credit risk of non-event countries within the same portfolio benefit (suffer) from downgrades (upgrades). As expected, this implies a competition effect in terms of sovereign credit risk. Moreover, we find that downgrades are more likely to spill over into other emerging markets than upgrades, and they do so with a greater impact. Finally, there is enough evidence of cross-over effects to support the importance of this study., The authors would like to express their gratitude for the grant received from the Fundación Ramón Areces. A. González-Urteaga acknowledges financial support from ECO2015-67035-P and ECO2016-77631-R (AEI/FEDER,UE). We thank the participants at the Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF) Conference for stimulating discussions on earlier drafts of this paper.

This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the default premium beta is always positive and statistically different from zero. Moreover, the risk premium of the market volatility risk premium beta is negative and statistically significant. However, both risk factors are priced economically and statistically differently in the volatility and return segments of the market. On average, common factors in both segments explain 90% of the variability of volatility risk premium portfolios, but only 65% of the variability of equity return portfolios., The authors acknowledge financial support from the Ministry of Economics and Competitiveness through grant ECO2015-67035-P. In addition, Gonzalo Rubio acknowledges financial support from the Bank of Spain, and Generalitat Valenciana grantPROMETEOII/2013/015, and Ana González-Urteaga from Ministry of Economics and Competitiveness through grant ECO2016-77631-R.

This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel GVAR methodology using data from six Latin American emerging countries during an extensive sample period from 2004 to 2014. Our findings show evidence for the existence of significant and asymmetric cross-border effects. In particular, a competition effect is observed before the event occurs, indicating that non-event countries suffer (benefit) from upgrades (downgrades) in Brazil, Mexico and Chile (in Argentina and Brazil). In contrast, an imitation effect is observed after rating upgrades in Chile, to the benefit of bordering non-event countries., The authors would like to express their gratitude for the grant received from the Fundación Ramón Areces. Ana González-Urteaga acknowledges financial support from ECO2015-67035-P and ECO2016-77631-R.