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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 1504, Working Papers del Instituto Complutense de Estudios Internacionales from Universidad Complutense de Madrid, Instituto Complutense de Estudios 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, nep-ger and nep-mac
Date: 2015
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