Biography

Ana Sofia Monteiro is an Assistant Professor in the Department of Management at the University of Minho. She holds a PhD in Economics from the University of Coimbra (2022). Her field of research is Finance, Macro-Finance and Financial Markets. She has 11 publications in international journals, including ABS 2–3 and Q1–Q2 outlets. Previously, she was an Invited Assistant Professor at ISEG – University of Lisbon and the University of Coimbra, where she taught more than 15 different courses.

Abstract

We employ a cross-quantilogram approach to assess relationships between quantiles of stock returns and sovereign yields, in the United States and Germany, in the period 1990–2024. Specifically, we focus on the lowest 5 % quantile of stock returns and the highest 5 % quantile of bond returns, providing insights into tail dependencies, crucial during market downturns and periods of heightened volatility. We also measure causality in volatilities extending well-known approaches analyzing volatility transmission. We find significant cross-market relationships between American and German stock and bond markets, influenced by economic crises, macroeconomic dynamics, and monetary policy interventions, and financial stress play a crucial role.

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