Is the EMU government bond market a playground for asymmetries?

Catalin Dragomirescu-Gaina and Dionisis Philippas

The Journal of Economic Asymmetries, 2013, vol. 10, issue 1, 21-31

Abstract: We investigate the volatility dynamics of some major European Monetary Union sovereign bond markets. We provide an endogenous identification in terms of two Markov switching regimes for market volatility and analyze the impact of capital and trade flows together with policy actions on the persistence of volatility swings.

Keywords: Government bond yields; Economic Monetary Union; Asymmetries (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:10:y:2013:i:1:p:21-31

DOI: 10.1016/j.jeca.2013.09.001

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