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Export Reference (APA) 
da Cunha Cabral, I., Ribeiro, P. P. & Nicolau, J. (2019). Tracking the relationship between euro area equities and sovereign bonds. International Journal of Monetary Economics and Finance. 12 (6), 511-537
Export Reference (IEEE) 
I. D. Cabral et al.,  "Tracking the relationship between euro area equities and sovereign bonds", in Int. Journal of Monetary Economics and Finance, vol. 12, no. 6, pp. 511-537, 2019
Export BibTeX 
@article{cabral2019_1765611131955,
	author = "da Cunha Cabral, I. and Ribeiro, P. P. and Nicolau, J.",
	title = "Tracking the relationship between euro area equities and sovereign bonds",
	journal = "International Journal of Monetary Economics and Finance",
	year = "2019",
	volume = "12",
	number = "6",
	doi = "10.1504/IJMEF.2019.104673",
	pages = "511-537",
	url = "http://www.inderscience.com/offer.php?id=104673"
}
Export RIS 
TY  - JOUR
TI  - Tracking the relationship between euro area equities and sovereign bonds
T2  - International Journal of Monetary Economics and Finance
VL  - 12
IS  - 6
AU  - da Cunha Cabral, I.
AU  - Ribeiro, P. P.
AU  - Nicolau, J.
PY  - 2019
SP  - 511-537
SN  - 1752-0479
DO  - 10.1504/IJMEF.2019.104673
UR  - http://www.inderscience.com/offer.php?id=104673
AB  - This paper explores the relationship between stocks and sovereign bonds by means of the asymmetric detrended cross-correlation analysis (ADCCA). Drawing on data from 1999.01 to 2018.09 of the first wave of euro area countries, the full sample is divided into three subsets in accordance with economic and financial features. Some findings arise with striking implications for investors and policymakers. Firstly, empirical results show that cross-correlations differ from country to country, depending on the sub-period under analysis and on the time scale. Secondly, likewise within country estimates, cross-country linkages may point to fragmentation in the euro area with agents moving away from financial assets of lower-rated countries to invest in more robust economies in periods of turmoil. Thirdly, there is evidence of asymmetry since 'flight-to-quality' movements seem to be more relevant than 'flight-to-yield' episodes. Finally, while relationships were globally bidirectional until mid-2007, new causality patterns arose with the financial crisis.
ER  -