Volatility spillovers in EMU sovereign bond markets
- Fernando Fernández-Rodríguez
- Marta Gómez-Puig
- Simón Sosvilla-Rivero
ISSN: 2339-9570
Datum der Publikation: 2015
Nummer: 4
Art: Arbeitsdokument
Andere Publikationen in: Documentos de trabajo = Working Papers ( Instituto Complutense de Estudios Internacionales ): Nueva época
Zusammenfassung
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.