Não disponível em português
Bruno Buchetti
- 21 April 2025
- WORKING PAPER SERIES - No. 3050Details
- Abstract
- The primary objective of this study is to explore the dynamic relationships between equity returns or volatility and sentiment factors in European markets during both the periods preceding the COVID-19 pandemic, the COVID-19 itself, and the Russia-Ukraine war. We achieve this by applying the network methodology initially introduced by Diebold & Yilmaz (2014), along with its extensions based on realized measures and generalized forecast error variance decomposition, as proposed by Baruník & Křehlík (2018) and Chatziantoniou et al. (2023). Additionally, we investigate how the global sentiment factor influences the overall connectedness index by employing a quantile-on-quantile approach, following the methods outlined by Sim & Zhou (2015) and Bouri et al. (2022). To conduct our analysis, we utilize daily-frequency data encompassing the period from January 1, 2011, to December 31, 2023, covering the entirety of the COVID-19 pandemic in 2020 and the Russia-Ukraine conflict in 2022 across six European stock indices. Our primary discovery is the interconnectedness of both returns and sentiment. Furthermore, our resultsindicate that during the COVID-19 and Russia-Ukraine war, there is a notable increase in volatility spillovers among the analyzed stock indices, driven by the heightened interconnectedness between stock market returns.
- JEL Code
- G11 : Financial Economics→General Financial Markets→Portfolio Choice, Investment Decisions
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G14 : Financial Economics→General Financial Markets→Information and Market Efficiency, Event Studies, Insider Trading
G40 : Financial Economics
- 13 March 2024
- WORKING PAPER SERIES - No. 2916Details
- Abstract
- Using pan-European credit register data, we analyze the sharp increase in public guaranteed lending (PGL) during the COVID-19 loan guarantee programs and show that banks leverage PGL to expand lending to low-emission firms. This behavior is driven by industries less affected by COVID-19, banks with ”browner” portfolios, and younger firms. Notably, compared to high-emission firms, banks’ internal risk assessments in PGL to low-emission firms are less frequently updated and exhibit weaker predictive power for future credit quality deterioration, indicating lax monitoring efforts. These findings highlight the additional information production costs associated with green lending and shed light on why banks may be slow to transition to greener portfolios.
- JEL Code
- G20 : Financial Economics→Financial Institutions and Services→General
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation