Volatility-Spillover E ffects in European Bond Markets

Charlotte Christiansen

No 03-8, Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies

Abstract: We analyze volatility spillover from the US and aggregate European bond markets into individual European bond markets using a GARCH volatility-spillover model. We find strong statistical evidence of volatility-spillover e ffects from both the US and Europe into the individual bond markets.For the EMU countries,the US volatility-spillover effects are rather weak whereas the European volatility-spillover effects are strong.The opposite applies to the non-EMU countries.Pure local volatility e ffects are substantial. The introduction of the euro has strengthened the European volatility-spillover effects for the EMU countries.The non-EMU countries are unaffected hereby.

Keywords: Euro; GARCH; Government Bonds; International Bond Markets; Volatility-Spillover (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-ets, nep-fin, nep-ifn and nep-rmg
Date: Written 2003-10-01
Note: 2nd version
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