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Volatility spillovers in EMU sovereign bond markets

Fernando Fernández-Rodríguez (), Marta Gómez-Puig () and Simon Sosvilla-Rivero ()
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Fernando Fernández-Rodríguez: Department of Quantitative Methods in Economics - Universidad de Las Palmas de Gran Canaria

No 15-03, Working Papers from Asociación Española de Economía y Finanzas Internacionales

Abstract: We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and to determine whether core and peripheral markets present differences. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kind.

Keywords: Sovereign debt crisis; Euro area; Market Linkages; Vector Autoregression; Variance Decomposition. (search for similar items in EconPapers)
JEL-codes: C53 E44 F36 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec and nep-mac
Date: 2015-03
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Journal Article: Volatility spillovers in EMU sovereign bond markets (2015) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:aee:wpaper:1503

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