Event summary

Biography: 

Susana Campos Martins is Senior Research Fellow of the Global Priorities Institute and Associate Member of Nuffield College, University of Oxford. She is also Lecturer at the Saïd Business School, University of Oxford, and at Imperial College London. Her most recent research focuses on identifying, measuring, and managing the effects of global shocks, including geopolitical and environmental, that shake financial markets and the real economy. Susana’s work has been published in the Journal of Financial Economics, Journal of Econometrics and the Journal of International Money and Finance. She received her PhD in Economics from the University of Minho in 2019 and has held many visiting positions, including at NYU Stern School of Business, UC San Diego, and Queen Mary University of London. Susana will be soon joining Católica Lisbon School of Business and Economics as Assistant Professor of Econometrics and Finance.

Abstract:

A global risk factor may not be enough to capture worldwide common variation in financial volatilities or correlation of shocks to those volatilities. A two-factor model of financial volatility is developed to measure the common variation driven by global and geopolitical shocks to sovereign bond indices. We find that these are driven by not only a global but also a group-specific, presumably European, volatility factor. Events that would have otherwise been identified as global, such as presidential elections, turn out to have a much lower impact globally. Other events have an amplified effect on some countries when regional effects are allowed. European countries, for instance, seem much more impacted by shocks such as the 2016 European Union membership referendum in the United Kingdom than the rest of the world. While global volatility seems to drive global economic crises, the regional factor shows predictive power for the European sovereign debt crisis.

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