Volatility spillovers in EMU sovereign bond markets

1. Fernando Fernández-Rodríguez
2. Marta Gómez-Puig
3. Simón Sosvilla-Rivero

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More publications in: Documentos de trabajo = Working Papers ( Instituto Complutense de Estudios Internacionales ): Nueva época

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.

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